black_scholes: Black-Scholes valuation and first derivatives via Automatic Differentiation
Description
This example illustrate how to use automatic differentiation to
calculate the delte of a Black-Scholes call and put. It is based
on the same example in the FastAD sources.
Usage
black_scholes(spot = 105, strike = 100, vol = 5, r = 1.25/100,
tau = 30/365)
Value
A matrix with rows for the call and put variant, and columns
for option value, delta and vega
Arguments
- spot
A double with the spot price, default is 105 as in Boost example
- strike
A double with the strike price, default is 100 as in Boost example
- vol
A double with the (annualized) volatility (in percent), default is 5
(for 500 per cent) as in Boost example
- r
A double with the short-term risk-free rate, default is 0.0125 as in Boost example
- tau
A double with the time to expiration (in fractional years), default is 30/365
as in Boost example