bs_withdiv: Black Scholes Calculator (with dividend)

In geneorama/geneorama: Gene's collection of miscellaneous functions

Description

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

Usage

bs_withdiv(S, K, r, vol, mat, q = 0)

Arguments

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
q	Dividend rate, continuous

Details

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

Note

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.

Author(s)

Gene Leynes

Source

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

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

See Also

bs

Examples

		bs_withdiv(S=370, K=485, r=.04, vol=.1, mat=2, q=0)
		bs_withdiv(S=370, K=485, r=.04, vol=.1, mat=2, q=.01)

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