eur_call_bsm: Cost of European Call Option
In nathanesau/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Details
Value
Examples
Description
Calculates the cost of a European call option under the
black scholes model.
Usage
1
eur_call_bsm(S, K, r, sigma, d, term)
Arguments
S
The current price of the underlying asset (i.e. stock)
K
The strike / exercise price of the option
r
The risk free interest rate
sigma
The volatility of the option
d
The continuously compounded dividend rate
term
The time to expiration
Details
bsm stands for the black scholes model.
Value
The cost of a European call option
Examples
1
eur_call_bsm(40,40,0.05,0.20,0.02,1)
nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.
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Description Usage Arguments Details Value Examples
Description
Calculates the cost of a European call option under the black scholes model.
Usage
1 | eur_call_bsm(S, K, r, sigma, d, term)
|
Arguments
S |
The current price of the underlying asset (i.e. stock) |
K |
The strike / exercise price of the option |
r |
The risk free interest rate |
sigma |
The volatility of the option |
d |
The continuously compounded dividend rate |
term |
The time to expiration |
Details
bsm stands for the black scholes model.
Value
The cost of a European call option
Examples
1 | eur_call_bsm(40,40,0.05,0.20,0.02,1)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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