Black_Scholes {qrmtools} | R Documentation |
Compute the Black–Scholes formula and the Greeks.
Black_Scholes(t, S, r, sigma, K, T, type = c("call", "put")) Black_Scholes_Greeks(t, S, r, sigma, K, T)
t |
initial or current time t (in years). |
S |
stock price at time t. |
r |
risk-free annual interest rate. |
sigma |
annual volatility (standard deviation). |
K |
strike. |
T |
maturity (in years). |
type |
|
Black_Scholes()
returns the value of a European-style call or put
option (depending on the chosen type
) on a non-dividend paying stock.
Black_Scholes_Greeks()
returns the first-order derivatives
delta, theta, rho, vega and the second-order derivatives gamma, vanna
and vomma (in this order).
Marius Hofert
McNeil, A. J., Frey, R., and Embrechts, P. (2015). Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.