FinancialMath (version 0.1.1)

bls.order1: Black Scholes First-order Greeks

Description

Gives the price and first order greeks for call and put options in the Black Scholes equation.

Usage

bls.order1(S,K,r,t,sd,D=0)

Arguments

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

Value

See Also

option.put

option.call

Examples

x <- bls.order1(S=100, K=110, r=.05, t=1, sd=.1, D=0)
ThetaPut <- x["Theta","Put"]
DeltaCall <- x[2,1]