analytic_gbm_price: Black-Scholes risk-neutral European option price

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

Description

The famous formula we all know and love. The simplest analytic formula for pricing vanilla European options. See pdf (coming) for further details.

Usage

analytic_gbm_price(
  spot,
  strike,
  maturity,
  rate,
  div,
  volat,
  what = "put",
  current_time = 0
)

Arguments

spot	The underlying share price, S.
strike	The strike price of the option, K.
maturity	The time until expiration in trading years, T.
rate	The risk free rate, r.
div	the dividend yield rate
volat	The annualized standard deviation of log-returns, sigma
what	Which type of option to price.
current_time	The time you want to price at, t.

Details

Either Ke^{-r(T-t)} Φ(x)-S_0 Φ(x1) for puts or S_0 Φ(x1)-Ke^{-r(T-t)}Φ(x) for calls. See the pdf (coming) for details on the arguments of the CDFs.

Value

numeric

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