Library: | finance |
See also: | mcmillan |
Quantlet: | bs1 | |
Description: | calculates option prices using the Black and Scholes formula |
Usage: | {opvv,sel,ingred} = bs1(task) | |
Input: | ||
task | scalar: (=1) - without dividend, (=2) - with continuously paid dividend, (=3) - with a fixed dividend at the end of T, (=4) - if for exchange rate | |
Output: | ||
opvv | scalar , value of the option | |
sel | 2 x 1 vector , if sel[1]=1 'call', else 'put' | |
ingred | 6 x 1 vector , stock price, strike price, time of expiration, volatility, domain interest rate, dividend |
library("finance") bs1(1)
option price using Black and Scholes formula
Library: | finance |
See also: | mcmillan |