Description Usage Arguments Value Author(s) References Examples
View source: R/BSM_utilities.R
The total value of an option is its intrinsic value plus its time value
1 | TimeValuePut(Stock, Exercise, Put_price)
|
Stock |
S_0, the asset price |
Exercise |
K, the option strike price |
Put_price |
The value of the put being analyzed |
The Time Value of the put option
George Fisher GeorgeRFisher@gmail.com
Hull, 7th edition ch 8 p186
1 2 3 4 5 6 | # Hull, 7th edition ch 8 p186
Stock <- 21 # S_0
Exercise <- 20 # K
Put_price <- 1.875
(puttv <- TimeValuePut(Stock, Exercise, Put_price))
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