BS_European_Greeks {greeks}R Documentation

Calculates the greeks of an European call- or put-option in the Black Scholes model.

Description

Calculates the greeks of an European call- or put-option in the Black Scholes model.

Usage

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")
)

Arguments

initial_price
  • initial price of the underlying asset

exercise_price
  • strike price of the option

r
  • risk-free interest rate

time_to_maturity
  • time to maturity

volatility
  • volatility of the underlying asset

dividend_yield
  • dividend yield

payoff
  • in c("call", "put")

greek
  • greeks to be calculated in c("fair_value", "delta", "vega", "theta", "rho", "epsilon", "lambda", "gamma", "vanna")

Value

Named vector containing the values of the greeks specified in the parameter greek.

Examples

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")

[Package greeks version 0.2.0 Index]