optionstrat (version 1.4.1)

opteval: Dual Option Evaluation

Description

Creates a data.frame containing both call and put option greeks; delta, gamma, vega, theta, rho and the option premium

Usage

opteval(s, x, sigma, t, r, d = 0)

Arguments

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

Returns a data.frame containing the call and put option premium and greeks:

• Premium

• Delta

• Gamma

• Vega

• Theta

• Rho

Examples

# NOT RUN {
opteval(100, 100, 0.20, (45/365), 0.02, 0.02)
# }