[Returnanalytics-commits] r3881 - pkg/Dowd/man

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-07-30 01:10:08 +0200 (Thu, 30 Jul 2015)
New Revision: 3881

Added:
   pkg/Dowd/man/BlackScholesPutPrice.Rd
Log:
Function BlackScholesPutPrice added.

Added: pkg/Dowd/man/BlackScholesPutPrice.Rd
===================================================================
--- pkg/Dowd/man/BlackScholesPutPrice.Rd	                        (rev 0)
+++ pkg/Dowd/man/BlackScholesPutPrice.Rd	2015-07-29 23:10:08 UTC (rev 3881)
@@ -0,0 +1,41 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/BlackScholesPutPrice.R
+\name{BlackScholesPutPrice}
+\alias{BlackScholesPutPrice}
+\title{Price of European Put Option}
+\usage{
+BlackScholesPutPrice(stockPrice, strike, rf, sigma, t)
+}
+\arguments{
+\item{stockPrice}{Stock price of underlying stock}
+
+\item{strike}{Strike price of the option}
+
+\item{rf}{Risk-free rate and is annualised}
+
+\item{sigma}{Volatility of the underlying stock}
+
+\item{t}{The term to maturity of the option in years}
+}
+\value{
+Price of European Call Option
+}
+\description{
+Derives the price of European call option using the Black-Scholes approach
+}
+\examples{
+# Estimates the price of an American Put
+   BlackScholesPutPrice(27.2, 25, .03, .2, 60)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
+
+Hull, John C.. Options, Futures, and Other Derivatives. 5th ed., p. 246.
+
+Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles,
+Mathematics, Algorithms, Cambridge University Press, 2002.
+}
+