fin_options_Greeks: Black-Scholes Call Option Price and Greeks Calculator

In umx: Structural Equation Modeling and Twin Modeling in R

Black-Scholes Call Option Price and Greeks Calculator

Description

fin_options_Greeks calculates the theoretical European Call option price and its corresponding Greeks (Delta, Gamma, Theta, Vega, and Rho) using the Black-Scholes model.

Usage

fin_options_Greeks(
  spotPrice,
  strikePrice,
  daysToExpiry,
  riskFreeRate = 0.04,
  impliedVol = 0.2
)

Arguments

spotPrice	The current price of the underlying asset.
strikePrice	The strike price of the option.
daysToExpiry	The number of days remaining until option expiration.
riskFreeRate	The annual risk-free interest rate (expressed as a decimal, default = 0.04 for 4%).
impliedVol	The annualized implied volatility (expressed as a decimal, default = 0.20 for 20%).

Value

A data frame containing:

• price: Theoretical Call option price

• delta: Sensitivity of option price to underlying price (Delta)

• gamma: Sensitivity of Delta to underlying price (Gamma)

• theta: Daily time decay of option price (Theta)

• vega: Sensitivity of option price to a 1% change in implied volatility

• rho: Sensitivity of option price to a 1% change in risk-free interest rate

See Also

Other financial functions: fin_options_LeapSimulate(), fin_options_plotGreeks(), fin_options_teach(), fin_stock_CAGR(), fin_stock_justifiedPE(), fin_stock_target(), fin_stock_ticker(), fin_stock_valuation(), fin_tax_FIF(), fin_tax_NI(), fin_value_CAGR(), fin_value_CarryCost(), fin_value_NPV(), fin_value_interest(), fin_value_percent()

Examples

fin_options_Greeks(spotPrice = 100, strikePrice = 95, daysToExpiry = 30, 
riskFreeRate = 0.04, impliedVol = 0.20)

umx documentation built on Oct. 11, 2026, 5:07 p.m.