d2: d2

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

d2

Description

The d2 function is used in an analytical approach to calculate standard call and put options and their modifications.

Usage

d2(asset, strike, rate, vol, time, End_Time)

Arguments

asset	a numeric vector of asset prices.
strike	numeric value, strike price for call or put option.
rate	numeric value, risk free rate in the model, r >= 0.
vol	numeric value, volatility of the model, vol > 0.
time	a numeric vector of actual time, time > 0.
End_Time	end time of the option, End_time >= time.

Value

A numeric vector, which help calculate option value.

See Also

https://en.wikipedia.org/wiki/Black–Scholes_model.

Examples

d2(100, 100, 0, 0.5, 0, 1)
d2(c(100, 120), 100, 0, 0.3, 0, 1)
d2(c(100, 120), 100, 0, 0.3, c(0, 0.5), 1)

mociepa/ShortfallRiskHedging documentation built on Sept. 30, 2022, 6:43 p.m.