analytic_gbm_rho: Black-Scholes risk-neutral European option rho, sensitivity...

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

Description

The rho of a vanilla European option's price, i.e. the derivative with respect to risk-free rate.

Usage

analytic_gbm_rho(
  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.

Value

See pdf to come...

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