BSM: Black-Scholes-Merton Option pricing model and calculation of...

In czxa/FMFE: Options and Futures in Financial Mathematics and Financial Engineering

Description

The BSM function can calculate the theoretical price and Greek value of the option according to the relevant parameters of the input option, including Delta, Gamma, Theta, Vega and Rho.

Usage

BSM(S = 41, K = 40, sigma = 0.3, r = 0.08, T = 1, t = 0,
  dividend = 0, type = "call")

Arguments

S	Current stock price, default value is 41
K	Execution price of option, default value is 40
sigma	Annual volatility of the underlying stock price with a default value of 0.3
r	Risk-free interest rate, default value 0.08
T	Expiration time, default value is 1
t	Start time, default value is 0, that is, default duration of options is 1
dividend	Compound dividend rate, default value is 0, that is, no dividend.
type	Specifies the type of option, defaulting to call

References

John C.Hull. Options, Futures, and other Derivatives 9ed

Examples

BSM(S = 41, K = 40, sigma = 0.3, r = 0.08, T = 1, t = 0, dividend = 0)
BSM(S = 41, K = 40, sigma = 0.3, r = 0.08, T = 1, t = 0, dividend = 0,
    type = "put")

czxa/FMFE documentation built on Nov. 6, 2019, 4:58 a.m.