GBSOption

Computes the price and Greeks of European call and put options using the
Generalized Black-Scholes model.

A toolkit for Commodities 'analytics', risk management and
trading professionals. Includes functions for API calls to
<https://commodities.morningstar.com/#/>, <https://developer.genscape.com/>,
and <https://www.bankofcanada.ca/valet/docs>.

Philippe Cote

Risk Tool Library - Trading, Risk, Analytics for Commodities

Nima Safaian

GBSOption function

<dl><dt>S</dt>
<dd>numeric, the current stock price (also known as the underlying asset price).</dd>
<dt>X</dt>
<dd>numeric, the strike price of the option.</dd>
<dt>T2M</dt>
<dd>numeric, the time to maturity (in years). Previously denoted as T.</dd>
<dt>r</dt>
<dd>numeric, the risk-free interest rate (annualized).</dd>
<dt>b</dt>
<dd>numeric, the cost of carry, b = r - q for dividend paying assets,
where q is the dividend yield rate.</dd>
<dt>sigma</dt>
<dd>numeric, the volatility of the underlying asset (annualized).</dd>
<dt>type</dt>
<dd>character, the type of option to evaluate, either "call" or "put".
Default is "call".</dd></dl>

Arguments

Generalized Black-Scholes (GBS) Option Pricing Model — GBSOption

<dl>

<dt>S</dt>
<dd>numeric, the current stock price (also known as the underlying asset price).</dd>


<dt>X</dt>
<dd>numeric, the strike price of the option.</dd>


<dt>T2M</dt>
<dd>numeric, the time to maturity (in years). Previously denoted as T.</dd>


<dt>r</dt>
<dd>numeric, the risk-free interest rate (annualized).</dd>


<dt>b</dt>
<dd>numeric, the cost of carry, b = r - q for dividend paying assets,
where q is the dividend yield rate.</dd>


<dt>sigma</dt>
<dd>numeric, the volatility of the underlying asset (annualized).</dd>


<dt>type</dt>
<dd>character, the type of option to evaluate, either "call" or "put".
Default is "call".</dd>

</dl>

GBSOption: Generalized Black-Scholes (GBS) Option Pricing Model

Description

Usage

Value

Arguments

Examples