BlackScholesGetCallDelta Method |
Computes call option delta.
Namespace: FinMath.Derivatives
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
public static double GetCallDelta( double stockPrice, double strikePrice, double riskFreeRate, double timeToMaturity, double volatility )
Parameters
- stockPrice
- Type: SystemDouble
Stock price of the underlying asset. - strikePrice
- Type: SystemDouble
Strike price of the undelying asset. - riskFreeRate
- Type: SystemDouble
Risk-free interest rate. - timeToMaturity
- Type: SystemDouble
Time to the expiration date. - volatility
- Type: SystemDouble
The underlying asset volatility.
Return Value
Type: DoubleCall option delta.
See Also