This function computes vega greek for an option based on modified Corrado-Su
pricing model.
Usage
csmvega(type, spot, strike, time, rate, yield, sigma, mu3, mu4)
Arguments
- type
'call' for call option, any other value for put.
- spot
current stock price.
- strike
the strike price.
- time
time to option expiration in years.
- rate
the risk-free interest rate.
- yield
the dividends that are expected to be paid.
- sigma
volatility of the stock price.
- mu3
skewness.
- mu4
kurtosis.
Value
Vector with options Vega.
Examples
csmvega("call", 14, 13, 0.1, 0.15, 0, 0.5, 0.18, 3.53)
#> [1] 1.401489
csmvega("put", 14, 13, 0.1, 0.15, 0, 0.5, 0.18, 2.53)
#> [1] 1.498578
