dTwo: The d2 component of the Black-Scholes-Merton formula

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

Description

The d2 component of the Black-Scholes-Merton formula

Usage

dTwo(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]

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

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