tests/manual/Test_GBS.R

In lampoverde/Der: Derivatives and Structured Products

# Dati
S<- 100
X<- 100
T<- 1
d<- .03
v<- .2
r<- .01
phi<- 1

# Black & Scholes
BS(S=S,X=X,T=T,v=v,rd=r,phi=phi)
BS_all(S=S,X=X,T=T,v=v,rd=r,phi=phi)


# Black & Scholes & Merton
BSM(S=S,X=X,T=T,v=v,rd=r,d=d,phi=phi)

BSM_all(S=S,X=X,T=T,v=v,rd=r,d=d,phi=phi)