delta_hedging: This function compute the delta hedging for time series...
In AnthonyTedde/StockPriceSimulator: Stock Price Simulator
Description
Delta hedging of Black-Scholes_Merton
Usage
1
2
delta_hedging(time_to_maturity, S, strike, sigma = 0.2, alpha = 0.05,
r = 0.03, scale = 365, full = F)
Arguments
time_to_maturity
Time up to maturity in year
S
Initial value of the Stock
strike
Strike price of the option.
sigma
Volatility rate of the simulated stock time series
alpha
Drift rate of the simulated stock time series
r
Riskless interest rate - 0.03 if no value provided.
scale
Year divided factor
full
By defaut the function only return the delta hedging results
AnthonyTedde/StockPriceSimulator documentation built on May 17, 2019, 5:39 p.m.
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Description
Delta hedging of Black-Scholes_Merton
Usage
1 2 | delta_hedging(time_to_maturity, S, strike, sigma = 0.2, alpha = 0.05,
r = 0.03, scale = 365, full = F)
|
Arguments
time_to_maturity |
Time up to maturity in year |
S |
Initial value of the Stock |
strike |
Strike price of the option. |
sigma |
Volatility rate of the simulated stock time series |
alpha |
Drift rate of the simulated stock time series |
r |
Riskless interest rate - 0.03 if no value provided. |
scale |
Year divided factor |
full |
By defaut the function only return the delta hedging results |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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