File:BlackScholes-Vega.png
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Summary
[edit]DescriptionBlackScholes-Vega.png |
Deutsch: Das Vega für eine europäische Option (Put und Call) nach Black Scholes zu verschiedenen Zeitpunkten |
Date | 28 June 2005 (original upload date) |
Source |
selbst erstellt mit GNU R. R-Quelltext: bsVega <-function (S,t=0,T=1,K=100,sigma=0.20,r=0.03) { d1=1/(sigma*sqrt(T-t))*(log(S/K)+(r+sigma^2/2)*(T-t)) return(S*sqrt(T-t)*dnorm(d1)) } cols=heat.colors(3) s=seq(62,138,length=500) png(filename = "BlackScholes-Vega.png", width=1024, height=768, pointsize = 12) par(bg="lightgrey") plot(s,bsVega(S=s,t=0,T=1),type="n",xlab="S_t",ylab="Vega",ylim=c(0,40)) lines(s,bsVega(S=s,t=0,T=1),type="l",lwd=4,col=cols[1]) lines(s,bsVega(S=s,t=0.3,T=1),type="l",lwd=2,col=cols[2]) lines(s,bsVega(S=s,t=0.8,T=1),type="l",lwd=2,col=cols[3]) legend(x=62,y=40,legend=c("t=0","t=0.3","t=0.8"),col=cols,lwd=c(4,2,2)) title(main="Vega einer Option nach Black-Scholes",sub="Call und Put",cex.main=2) dev.off() |
Author | Thomas Steiner |
Licensing
[edit]Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled GNU Free Documentation License.http://www.gnu.org/copyleft/fdl.htmlGFDLGNU Free Documentation Licensetruetrue |
This file is licensed under the Creative Commons Attribution-Share Alike 3.0 Unported license. | ||
Attribution: Thire | ||
| ||
This licensing tag was added to this file as part of the GFDL licensing update.http://creativecommons.org/licenses/by-sa/3.0/CC BY-SA 3.0Creative Commons Attribution-Share Alike 3.0truetrue |
Original upload log
[edit]Transferred from de.wikipedia to Commons by Wdwdbot using CommonsHelper.
- 2005-06-28 06:59 Thire 1024×768× (10276 bytes) ylabel und titel falsch
- 2005-06-28 06:57 Thire 1024×768× (10364 bytes) *Beschreibung: Das Vega für eine europäische Option (Put und Call) nach Black Scholes zu verschiedenen Zeitpunkten *Quelle: selbst erstellt mit [[GNU R]]. *Fotograf oder Zeichner: [[Benutzer:Thire|Thomas Steiner]] {{Bild-GFDL}} R-Quelltext: bsVega <-f
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current | 04:38, 10 February 2014 | 1,024 × 768 (10 KB) | OgreBot (talk | contribs) | (BOT): Reverting to most recent version before archival | |
04:37, 10 February 2014 | 1,024 × 768 (10 KB) | OgreBot (talk | contribs) | (BOT): Uploading old version of file from de.wikipedia; originally uploaded on 2005-06-28 06:57:21 by Thire | ||
22:52, 9 February 2014 | 1,024 × 768 (10 KB) | File Upload Bot (Magnus Manske) (talk | contribs) | Transfered from de.wikipedia by User:wdwdbot using CommonsHelper |
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