Function greeks::delta_put
[−]
[src]
pub fn delta_put(s0: f64, x: f64, t: f64, r: f64, q: f64, sigma: f64) -> f64
Calculates the delta of a put options
Delta measures the rate of the theoretical option value with respect to the changes in the underlying asset's price.
Arguments
s0
- The underlying price of the optionx
- The strike price of the optiont
- time to expiration as a percentage of the yearr
- continuously compounded risk-free interest rateq
- continuously compounded divident yieldsigma
- volatility