Showing posts with label European- style call-put option. Show all posts
Showing posts with label European- style call-put option. Show all posts

## How to calculates the delta of the European- style call option

> calldelta(100, 100, 0.20, (45/365), 0.02, 0.02)
[1] 0.5127391
> calldelta(s, x, sigma, t, r, d = 0)

"x=
Strike price"
> sigma=
+ Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns
"sigma=
Implied volatility"
> t=
+ Time to maturity in years
"t=
Time to"
> r=
+ Annual continuously-compounded risk-free rate, use the function r.cont
"r=
Annual continuously"
> d=
+ Annual continuously-compounded dividend yield, use the function r.cont
"d=
Annual continuously"
> s=Spot price of an underlying asset

### calculates the delta of the European- style put option

> putdelta(100, 0.20, (42/365), 0.02, 0.02)
[1] 0
"x=
Strike price"
> sigma=
+ Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns
"sigma=
Implied volatility"
> t=
+ Time to maturity in years
"t=
Time to"
> r=
+ Annual continuously-compounded risk-free rate, use the function r.cont
"r=
Annual continuously"
> d=
+ Annual continuously-compounded dividend yield, use the function r.cont
"d=
Annual continuously"
> s=Spot price of an underlying asset

> vertical("call", s = 100, x1 = 90, x2 = 110, t = (45/365), r =  0.025, sigma = 0.20, vol = 0.25)
Calculates the key analytics of a vertical spread
> options
> Character string. Either "call", or "put"
> s =
> Spot price of the underlying asset
> x1 =
> Strike price of the short option
> x2 =
> Strike price of the long option
> t=
> Time to expiration in years
> r=
> Annual continuously compounded risk-free rate
> sigma=
> Implied volatility of the short option (annualized)
> sigma2 =
> Implied volatility of the long option (annualized)
> vol =
> Manual over-ride for the volatility of the underlying asset (annualized)
> d =

> Annual continuously compounded dividend yield
V1
Spot            100.00
Short.Strike     90.00
Long.Strike     110.00
Max.Profit       10.13
Max.Loss         -9.87
Breakeven       100.13
Prob.BE           0.50
Prob.Max.Profit   0.17
Prob.Max.Loss     0.17
Initial.DC       10.13