roptions (version 1.0.3)

put.delta: Put Delta

Description

Calculate the Delta (Option Greek) of a Contract

Usage

put.delta(s, k, t, sd, r, d = 0)

Arguments

s

Spot Price of Underlying Asset

k

Exercise Price of Contract

t

Time to Expiration

sd

Volatality

r

Risk free rate of return

d

Divident Yield (use cont.rate()), Default: 0

Value

Oupput gives the delta of a Option Contract.

Details

Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price.

Examples

# NOT RUN {
put.delta(100, 105, 0.25, 0.35, 0.0488)
# }