optionstrat (version 1.4.1)

optionvega: Option Vega

Description

Calculates the vega of a European- style call and put option

Usage

optionvega(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 r.cont

d

Annual continuously-compounded dividend yield, use r.cont

Value

Returns the option vega

Details

Vega measures the change in the option's value given a 1

Examples

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