Function greeks::lambda_put
[−]
[src]
pub fn lambda_put(
s0: f64,
x: f64,
t: f64,
r: f64,
q: f64,
sigma: f64,
v: f64
) -> f64
Calculates the lambda of a put option, also known as Omega
Omega is the percentage of change in an option's value with respect to the percentage change in the underlying 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
- volatilityv
- value or current price of the option