bs: Black Scholes Calculator
In geneorama/geneorama: Gene's collection of miscellaneous functions

Description Usage Arguments Details Note Author(s) Source See Also

Uses black Scholes formula to calculate the value of an option.

1	bs(S, K, r, vol, mat)

`S`	Current stock price
`K`	Strike price
`r`	Risk free rate of return
`vol`	Volatility of the stock expressed as σ
`mat`	Time to maturity

You need to convert r and vol to match the time period mat.

Assumes that the option is european, there is a constant risk-free interest rate, the stock price follows geometric Brownian motion with constant drift and volatility, and the stock does not pay a dividend. Also assumes that there are no transaction costs and the market is frictionless.

Gene Leynes

http://en.wikipedia.org/wiki/Black-Scholes_model

Options, Futures and Other Derivatives (6th Edition) by John C. Hull

bs_withdiv,

geneorama/geneorama documentation built on Oct. 17, 2020, 12:35 a.m.