UNLOCKING OPTION PRICING WITH R: LEVERAGING R FOR SIMPLIFIED CALCULATIONS
Keywords:
Keywords: Option Pricing, Options, Quantitative Finance, Implied Volatility, Black-Scholes Model, R Programming, R for Finance, Rmetrics, OptionPricing, Data Analysis.Abstract
Abstract: This article offers a hands-on guide to implementing option pricing models in R. We introduce the Black-Scholes model, covering its theoretical basis and practical calculation using R's OptionPricing package. Readers will learn to price calls and puts, as well as explore the concept of implied volatility for market insights. This article is ideal for those seeking to apply R to quantitative finance or gain a deeper understanding of option pricing mechanisms.
References
Black, Fischer., & Scholes, Myron. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
Hull, John C. (2018). Options, Futures, and Other Derivatives. Pearson Education.
Wilmott, Paul. (2006). Paul Wilmott on Quantitative Finance (2nd ed.). John Wiley & Sons.
Rmetrics Project: https://www.rmetrics.org/ [The official Rmetrics website, with documentation and resources for financial analysis with R]
OptionPricing package documentation: https://cran.r-project.org/web/packages/OptionPricing/OptionPricing.pdf
Wikipedia - https://en.wikipedia.org/wiki/Rmetrics
CRAN Packages – https://cran.r-project.org/web/packages/fOptions/index.html
https://financetrain.com/black-scholes-options-pricing-model-in-r
