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https://github.com/daleroberts/black-scholes

Black Scholes formula and greeks
https://github.com/daleroberts/black-scholes

finance numerical-codes option-pricing r

Last synced: about 1 month ago
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Black Scholes formula and greeks

Host: GitHub
URL: https://github.com/daleroberts/black-scholes
Owner: daleroberts
License: bsd-3-clause
Created: 2013-05-22T23:03:51.000Z (over 11 years ago)
Default Branch: master
Last Pushed: 2014-05-06T05:53:18.000Z (over 10 years ago)
Last Synced: 2023-07-15T03:34:12.370Z (over 1 year ago)
Topics: finance, numerical-codes, option-pricing, r
Language: R
Size: 1.07 MB
Stars: 34
Watchers: 7
Forks: 19
Open Issues: 0
Metadata Files:
- Readme: README.md
- License: LICENSE

Awesome Lists containing this project

README

        # The Black-Scholes model

Implementation in R of the Black Scholes formula and some greeks.

## Value of a call option

![value](https://rawgithub.com/daleroberts/black-scholes/master/images/bscall-value.png)

## Delta of a call option

![delta](https://rawgithub.com/daleroberts/black-scholes/master/images/bscall-delta.png)

## Gamma of a call option

![gamma](https://rawgithub.com/daleroberts/black-scholes/master/images/bscall-gamma.png)

## Rho of a call option

![rho](https://rawgithub.com/daleroberts/black-scholes/master/images/bscall-rho.png)

## Vega of a call option

![vega](https://rawgithub.com/daleroberts/black-scholes/master/images/bscall-vega.png)