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roptions (version 1.0.3)

Option Strategies and Valuation

Description

Collection of tools to develop options strategies, value option contracts using the Black-Scholes-Merten option pricing model and calculate the option Greeks. Hull, John C. "Options, Futures, and Other Derivatives" (1997, ISBN:0-13-601589-1). Fischer Black, Myron Scholes (1973) "The Pricing of Options and Corporate Liabilities" .

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Version

Install

install.packages('roptions')

Monthly Downloads

196

Version

1.0.3

License

GPL-3

Maintainer

Anurag Agrawal

Last Published

May 11th, 2020

Functions in roptions (1.0.3)

box.spread

Box Spread Strategy Function
butterfly.put

Butterfly Put Spread Strategy Function
call.premium.est

Estimated Premium of Option Contract
put.greek

Put Greeks
put.minorgreek

Specified Minor Option Greek
call.rho

Call Rho
call.delta

Call Delta
call.vega

Call Vega
cont.rate

Continous Rate
straddle.long

Long Straddle Strategy Function
put.vega

Put Vega
strangle.long

Long Strangle Strategy Function
straddle.short

Short Straddle Strategy Function
call.spread

Bull/Bear Call Spread Strategy Function
call.theta

Call Theta
call.estimate

Option Greek and Estimated Premium of Call Option
call.gamma

Call Gamma
put.gamma

Put Gamma
put.estimate

Option Greek and Estimated Premium of Put Option
put.premium.est

Estimated Premium of Put Option
call.greek

Specified Call Option Greek
call.minorgreek

Specified Minor Option Greek
strangle.short

Short Strangle Strategy Function
put.delta

Put Delta
iron.condour

Iron Condour Strategy Function
put.spread

Bull/Bear Put Spread Strategy Function
put.rho

Put Rho
put.theta

Put Theta
butterfly.call

Butterfly Call Spread Strategy Function