Description Usage Arguments Value Author(s) References Examples
Derives the price of European call option using the Black-Scholes approach
1 | BlackScholesPutPrice(stockPrice, strike, rf, sigma, t)
|
stockPrice |
Stock price of underlying stock |
strike |
Strike price of the option |
rf |
Risk-free rate and is annualised |
sigma |
Volatility of the underlying stock |
t |
The term to maturity of the option in years |
Price of European Call Option
Dinesh Acharya
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Hull, John C.. Options, Futures, and Other Derivatives. 5th ed., p. 246.
Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.
1 2 | # Estimates the price of an American Put
BlackScholesPutPrice(27.2, 25, .03, .2, 60)
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