EuroCall: European Call

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

Description

A call option that can only be exercised at expiration

Usage

EuroCall(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

Value

the price of a European Call Option

Author(s)

George Fisher [e-mail]

References

Hull 7th edition Ch 13 P 291

Examples

# Hull 7th edition Ch 13 P 294
Stock     <- 42    # S_0
Exercise  <- 40    # K
Time      <- 0.50  # T
Interest  <- 0.10  # r
Yield     <- 0     # q
sigma     <- 0.20
ans <- EuroCall(Stock, Exercise, Time, Interest, Yield, sigma)
round(ans,2)       # 4.76

## Not run: 
GenBS(Stock, Exercise, Interest, sigma, Time, Yield)

## End(Not run)

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