Library: | finance |
See also: | greeks |
Quantlet: | greeksaux | |
Description: | auxiliary quantlet for greeks |
Usage: | opv = greeksaux(s,k,i,v,t,q,coeff,opt) | |
Input: | ||
s | price of the underlying asset | |
k | exercise price | |
i | domestic interest rate | |
v | volatility per year | |
t | time to expiration | |
q | cost of carry | |
coeff | determines which partial derivative should be computed | |
opt | type of the option: 1 for call, 0 for put | |
Output: | ||
opv | the value of the partial derivative |