BlackScholes: Black-Scholes Option Pricing Model

In barryquinn1/tsfe: Time series financial econometrics

Black-Scholes Option Pricing Model

Description

Calculates the theoretical price of European call or put options.

Usage

BlackScholes(type, S0, K, T, r, sigma, q = 0)

Arguments

type	The type of option to be priced ("call" or "put").
S0	Current stock price.
K	Strike price of the option.
T	Time to expiration in years.
r	Risk-free interest rate.
sigma	Volatility of the stock price.
q	Dividend yield of the stock.

Value

The theoretical price of the option.

Examples

BlackScholes("call", 100, 100, 1, 0.05, 0.2)
BlackScholes("put", 100, 100, 1, 0.05, 0.2)

barryquinn1/tsfe documentation built on Jan. 23, 2025, 2:09 a.m.