BS_European_Greeks {greeks} | R Documentation |
Calculates the greeks of an European call- or put-option in the Black Scholes model.
BS_European_Greeks( initial_price = 100, exercise_price = 100, r = 0, time_to_maturity = 1, volatility = 0.3, dividend_yield = 0, payoff = "call", greek = c("fair_value", "delta", "vega", "theta", "rho", "epsilon", "lambda", "gamma", "vanna") )
initial_price |
|
exercise_price |
|
r |
|
time_to_maturity |
|
volatility |
|
dividend_yield |
|
payoff |
|
greek |
|
Named vector containing the values of the greeks specified in the
parameter greek
.
BS_European_Greeks(initial_price = 120, exercise_price = 100, r = 0.02, time_to_maturity = 4.5, dividend_yield = 0.015, volatility = 0.22, greek = c("fair_value", "delta", "gamma"), payoff = "put")