analytic_gbm_vega: Black-Scholes risk-neutral European option kappa (or vega),...
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 vega of a vanilla European option's price, i.e. the derivative with respect to volat.
Usage
1
analytic_gbm_vega(spot, strike, maturity, rate, div, volat, 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
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 vega of a vanilla European option's price, i.e. the derivative with respect to volat.
Usage
1 | analytic_gbm_vega(spot, strike, maturity, rate, div, volat, 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 |
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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