/black-scholes

Black Scholes formula and greeks

Primary LanguageRBSD 3-Clause "New" or "Revised" LicenseBSD-3-Clause

The Black-Scholes model

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

Value of a call option

value

Delta of a call option

delta

Gamma of a call option

gamma

Rho of a call option

rho

Vega of a call option

vega