black76: black76

In OUKUN0705/black76IV: Black76 model

Description

black76 calculates the premium of European option on future based on black model, Black(1976).

Usage

black76(Ft, K, type = c("C", "P"), Time, r, sigma)

Arguments

Ft	Future price. Numeric object.
K	Strike price. Numeric object.
type	Type of the European option, call(C) or put(P). String object.
Time	Time to maturity (in year). Numeric object.
r	Continousely compounded interest rate. Numeric object.
sigma	Annualsed volatility, square root of variance. Numeric object.

Value

List of 2 numeric objects, Option premium and Vega.

Examples

black76(type = "C", Ft = 48.03, Time = 0.1423, K = 50, sigma = 0.2, r = 0.03)
black76(type = "P", Ft = 48.03, Time = 0.1423, K = 50, sigma = 0.2, r = 0.03)

OUKUN0705/black76IV documentation built on May 7, 2019, 8:55 p.m.