| See http://www.r-project.org/ for R Language examples. | ||||||
| > ## Examples from Haug's Option Guide (1997) | ||||||
| > ## CHAPTER 1.1: ANALYTICAL FORMULAS FOR EUROPEAN OPTIONS: | ||||||
| > ## Black Scholes Option [Haug 1.1.1] --CALL | ||||||
| > GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08, | ||||||
| + b = 0.08, sigma = 0.30) | ||||||
| Title: | ||||||
| Black Scholes Option Valuation | ||||||
| Call: | ||||||
| GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08, | ||||||
| b = 0.08, sigma = 0.3) | ||||||
| Parameters: | ||||||
| Value: | ||||||
| TypeFlag c | ||||||
| S 60 | ||||||
| X 65 | ||||||
| Time 0.25 | ||||||
| r 0.08 | ||||||
| b 0.08 | ||||||
| sigma 0.3 | ||||||
| Option Price: | ||||||
| 2.133372 | (Note: 2.133368443 was computed in Excel formulas) | |||||
| Description: | ||||||
| Tue Feb 09 09:45:12 2010 | ||||||
| > ## Black Scholes Option [Haug 1.1.1] --PUT | ||||||
| > GBSOption(TypeFlag = "p", S = 60, X = 65, Time = 1/4, r = 0.08, | ||||||
| + b = 0.08, sigma = 0.30) | ||||||
| Title: | ||||||
| Black Scholes Option Valuation | ||||||
| Call: | ||||||
| GBSOption(TypeFlag = "p", S = 60, X = 65, Time = 1/4, r = 0.08, | ||||||
| b = 0.08, sigma = 0.3) | ||||||
| Parameters: | ||||||
| Value: | ||||||
| TypeFlag p | ||||||
| S 60 | ||||||
| X 65 | ||||||
| Time 0.25 | ||||||
| r 0.08 | ||||||
| b 0.08 | ||||||
| sigma 0.3 | ||||||
| Option Price: | ||||||
| 5.846286 | (Note: 5.84628221 was computed in Excel formulas) | |||||
| Description: | ||||||
| Tue Feb 09 09:48:53 2010 | ||||||