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: 3 months ago
JSON representation

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 (about 13 years ago)
• Default Branch: master
• Last Pushed: 2014-05-06T05:53:18.000Z (about 12 years ago)
• Last Synced: 2025-03-26T23:11:42.360Z (about 1 year ago)
• Topics: finance, numerical-codes, option-pricing, r
• Language: R
• Size: 1.07 MB
• Stars: 37
• Watchers: 6
• 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)