Computes Vega from modified Corrado-Su model.

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