optionstrat (version 1.4.1)

lambda: Lambda

Description

Calculates the Lambda of the call or put option

Usage

lambda(type = "call", s, x, sigma, t, r, d = 0)

Arguments

type

Character string, either "call" or "put"

s

Spot price of the underlying asset

x

Strike price of the option

sigma

Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns

t

Time to maturity in years

r

Annual continuously-compounded risk-free rate, use the function r.cont

d

Annual continuously-compounded dividend yield, use the function r.cont

Value

Calculates the Lambda of the option contract

Details

Lambda, or elasticity is the percentage change in the option valueper percentage change in the underlying price. It is a measure of leverage.

Examples

# NOT RUN {
lambda(type = "put", s = 100, x = 100, sigma = 0.15, t = 45/365, r = 0.02)
# }