Black Scholes First-order Greeks
Gives the price and first order greeks for call and put options in the Black Scholes equation.
bls.order1(S,K,r,t,sd,D=0)
S |
spot price at time 0 |
K |
strike price |
r |
continuously compounded yearly risk free rate |
t |
time of expiration (in years) |
sd |
standard deviation of the stock (volatility) |
D |
continuous dividend yield |
A matrix of the calculated greeks and prices for call and put options.
Cannot have any inputs as vectors.
t cannot be negative.
Either both or neither of S and K must be negative.
Kameron Penn and Jack Schmidt
x <- bls.order1(S=100, K=110, r=.05, t=1, sd=.1, D=0) ThetaPut <- x["Theta","Put"] DeltaCall <- x[2,1]
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