analytic_gbm_gamma: Black-Scholes risk-neutral European option gamma, sensitivity...
In shill1729/OptionPricer: An option pricer for European and American vanilla stock options
Description
Usage
Arguments
Value
View source: R/analytic_black_scholes.R
Description
The gamma of a vanilla European option's price, i.e. the second derivative with respect to the share price, i.e. the first derivative of delta.
Usage
1
analytic_gbm_gamma(spot, maturity, strike, rate, div, volat, current_time = 0)
Arguments
spot
The underlying share price, S.
maturity
The time until expiration in trading years, T.
strike
The strike price of the option, K.
rate
The risk free rate, r.
div
the dividend yield rate
volat
The annualized standard deviation of log-returns, sigma
current_time
The time you want to price at, t.
Value
See pdf to come...
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
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Description Usage Arguments Value
View source: R/analytic_black_scholes.R
Description
The gamma of a vanilla European option's price, i.e. the second derivative with respect to the share price, i.e. the first derivative of delta.
Usage
1 | analytic_gbm_gamma(spot, maturity, strike, rate, div, volat, current_time = 0)
|
Arguments
spot |
The underlying share price, S. |
maturity |
The time until expiration in trading years, T. |
strike |
The strike price of the option, K. |
rate |
The risk free rate, r. |
div |
the dividend yield rate |
volat |
The annualized standard deviation of log-returns, sigma |
current_time |
The time you want to price at, t. |
Value
See pdf to come...
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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