analytic_gbm: Black-Scholes European option pricing and greeks

In shill1729/OptionPricer: An option pricer for European and American vanilla stock options

Description

Function calls price and greeks analytic pricing functions and returns all simultaneously in a data.frame

Usage

analytic_gbm(
  spot,
  strike,
  maturity,
  rate,
  div,
  volat,
  what,
  current_time = 0,
  output = "greeks"
)

Arguments

spot	the underlying share price
strike	strike price of the option
maturity	the maturity of the option contract
rate	the risk-neutral rate
div	the dividend yield
volat	the volatility i.e. annualized standard deviation of log-returns
what	type of option, put or call
current_time	the current time, usually 0
output	either "greeks" or "price

Value

data.frame

Examples

spot <- 100
maturity <- 1
strike <- 100
rate <- 0.05
div <- 0
volat <- 0.19
what <- "call"
print(analytic_gbm(spot, strike, maturity, rate, div, volat, what))

shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.