Calculates the Price, Delta and Gamma of an European Call or Put option using the Black-Scholes formula.
BS_EC( T = 0.25, K = 100, r = 0.05, sigma = 0.2, S0 = 100 ) BS_EP( T = 0.25, K = 100, r = 0.05, sigma = 0.2, S0 = 100 )
Returns a vector containing the option price, Delta and Gamma
time to maturity (in years)
Strike Price
risk-free interest rate
yearly volatility
Starting Stock Price
Wolfgang Hormann
OptionPricing-package
BS_EC(K=100, r = 0.05, sigma = 0.2, T = 0.25, S0 = 100) BS_EP(K=100, r = 0.05, sigma = 0.2, T = 0.25, S0 = 100)
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