dOne: The d1 component of the Black-Scholes-Merton formula

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

Description

The d1 component of the Black-Scholes-Merton formula

Usage

dOne(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

d1

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 <- dOne(Stock, Exercise, Time, Interest, Yield, sigma)
round(ans,4)

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