BlackScholesCallPrice: Compute the Black-Scholes price of a European call or put...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Note
Author(s)
References
Description
Compute the Black-Scholes price of a European call or put
option as described in A. Meucci, "Risk and Asset
Allocation", Springer, 2005.
Usage
1
2
3
4
5
BlackScholesCallPrice(spot, K, r, vol, T)
BlackScholesPutPrice(spot, K, r, vol, T)
BlackScholesCallPutPrice(spot, K, r, vol, T)
Arguments
spot
[scalar] spot price of underlying
K
[scalar] strike of the call optioon
r
[scalar] risk free rate as a fraction
vol
[scalar] volatility of the underlying as a
fraction
T
[scalar] time to maturity in years
Value
c [scalar] price of European call(s)
p [scalar] price of European put(s)
delta [scalar] delta of the call(s) or put(s)
cash [scalar] cash held in a replicating portfolio
Note
Code is vectorized, so the inputs can be vectors or
matrices (but sizes must match)
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170.
See Meucci's script for "BlackScholesCallPrice.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Note Author(s) References
Description
Compute the Black-Scholes price of a European call or put option as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 2 3 4 5 | BlackScholesCallPrice(spot, K, r, vol, T)
BlackScholesPutPrice(spot, K, r, vol, T)
BlackScholesCallPutPrice(spot, K, r, vol, T)
|
Arguments
spot |
[scalar] spot price of underlying |
K |
[scalar] strike of the call optioon |
r |
[scalar] risk free rate as a fraction |
vol |
[scalar] volatility of the underlying as a fraction |
T |
[scalar] time to maturity in years |
Value
c [scalar] price of European call(s)
p [scalar] price of European put(s)
delta [scalar] delta of the call(s) or put(s)
cash [scalar] cash held in a replicating portfolio
Note
Code is vectorized, so the inputs can be vectors or matrices (but sizes must match)
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "BlackScholesCallPrice.m"
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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