DeltaCall: Delta of a European Call Option

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

Given a change in asset price, DeltaCall describes the amount by which the call option price changes.

Usage

DeltaCall(Stock, Exercise, Time, Interest, Yield, sigma)

Arguments

Stock	S0, the initial stock price
Exercise	K, the strike price
Time	T, the time to maturity in fractional years
Interest	r, the risk-free rate of return
Yield	q, the dividend yield
sigma	the asset volatility

Details

Change_in_Call-Option_Price = DeltaCall * Change_in_Asset_Price

Value

The Delta of the call option

Author(s)

George Fisher [e-mail]

Examples

# Hull, 7th edition Ch 17 p 363
library(ustreasuries)
Stock    <- 49     # S_0
Exercise <- 50     # K
Time     <- 20/52  # T
Interest <- 0.05   # r
Yield    <- 0      # q
sigma    <- 0.20

ans <- DeltaCall(Stock, Exercise, Time, Interest, Yield, sigma)

writeLines(paste0("Delta call: when the asset price changes by Delta_S,\n",
                  "                the option price changes by Delta_S*",round(ans, 3)))

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.