Function greeks::lambda_call [−] [src]

pub fn lambda_call(
    s0: f64, 
    x: f64, 
    t: f64, 
    r: f64, 
    q: f64, 
    sigma: f64, 
    v: f64
) -> f64

Calculates the lambda of a call 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 option
  • x - The strike price of the option
  • t - time to expiration as a percentage of the year
  • r - continuously compounded risk-free interest rate
  • q - continuously compounded divident yield
  • sigma - volatility
  • v - value or current price of the option