| Category: R |
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|
 Code snippet to price a vanilla option in R |
| Submitter: vanna |
Date: 2011/2/1 |
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Description:
I have just pasted this for the sake of being handy:
myresult=GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08,
b = 0.08, sigma = 0.30)
print(myresult)
This is generalized black scholes function, please refer the function documentation for parameter details Please see he FAQ How do I get started with R? if you want a quick start in R
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254  0 bytes  R  http://www.quantcode.com/ |
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