m4fe (version 0.1)

Vega_c: Vega (Call Greek)

Description

A partial derivative of the Black-Scholes Equation: dc/dsigma (with respect to the volatility)

Usage

Vega_c(S, K, sigma, r, delta, t)

Arguments

S

The Stock Price

K

The Strike Price

sigma

The volatility

r

The continuously compounded risk-tree interest rate

delta

The annualized dividend rate

t

The expiration date

Examples

Vega_c(S=40,K=40,sigma=0.3,r=0.08,delta=0,t=91/365)