roptions (version 1.0.3)

put.vega: Put Vega

Description

Calculate the Vega (Option Greek) of Option Contract

Usage

put.vega(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

Output gives the Vega of a Option Contract.

Details

Vega represents the rate of change between an option's value and the underlying asset's implied volatility.

Examples

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