DeltaPut: Delta of a European Put Option

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

Description

Given a change in asset price, DeltaPut describes the amount by which the put option price changes.

Usage

DeltaPut(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_Put-Option_Price = DeltaPut * Change_in_Asset_Price

Value

The Delta of the put option

Author(s)

George Fisher [e-mail]

Examples

# Hull, 7th edition Ch 17 p 362,3
library(ustreasuries)
Stock    <- 49     # S_0
Exercise <- 50     # K
Time     <- 20/52  # T
Interest <- 0.05   # r
Yield    <- 0      # q
sigma    <- 0.20

dcall <- DeltaCall(Stock, Exercise, Time, Interest, Yield, sigma)
dput  <- DeltaPut(Stock, Exercise, Time, Interest, Yield, sigma)

writeLines(paste0("Delta put: when the asset price changes by Delta_S,\n",
                  "               the option price changes by Delta_S*",round(dput, 3),
                  "\nDelta put = Delta call - 1? ", dput == dcall-1))

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