File:BlackScholes-Delta.png
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Summary
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| Description |
Deutsch: Das Delta für einen Put und einen Call nach Black Scholes zu verschiedenen Zeitpunkten |
| Date | 25 June 2005 (original upload date) |
| Source |
selbst erstellt mit GNU R. R-Quelltext: bsDelta <-function (flag="c",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)) d2=d1-sigma*sqrt(T-t) if (flag=="c") { return(pnorm(d1)) } else if(flag=="p") { return(-pnorm(-d1)) } } cols=heat.colors(3) s=seq(70,130,length=500) png(filename = "BlackScholes-Delta.png", width=1024, height=768, pointsize = 12) par(mfrow = c(1,2), oma = c(0,0,2,0), bg="lightgrey") plot(s,bsDelta(flag="c",S=s,t=0,T=1),type="n",ylim=c(0,1),xlab="S_t",ylab="Delta des Calls") lines(s,bsDelta(flag="c",S=s,t=0,T=1),type="l",lwd=3,col=cols[1]) lines(s,bsDelta(flag="c",S=s,t=0.25,T=1),type="l",lwd=3,col=cols[2]) lines(s,bsDelta(flag="c",S=s,t=0.8,T=1),type="l",lwd=3,col=cols[3]) axis(3,pos=0,labels=FALSE,col="darkgrey",at=c(70,130)) legend(x=72,y=0.99,legend=c("t=0","t=0.25","t=0.8"),col=cols,lwd=3) title(main="Call") plot(s,bsDelta(flag="p",S=s,t=0,T=1),type="n",ylim=c(-1,0),xlab="S_t",ylab="Delta des Puts") lines(s,bsDelta(flag="p",S=s,t=0,T=1),type="l",lwd=3,col=cols[1]) lines(s,bsDelta(flag="p",S=s,t=0.25,T=1),type="l",lwd=3,col=cols[2]) lines(s,bsDelta(flag="p",S=s,t=0.8,T=1),type="l",lwd=3,col=cols[3]) axis(1,pos=0,labels=FALSE,col="darkgrey",at=c(70,130)) legend(x=72,y=-0.01,legend=c("t=0","t=0.25","t=0.8"),col=cols,lwd=3) title(main="Put") title(main="Das Delta nach Black Scholes", cex.main=2, outer=TRUE) dev.off() |
| Author | Thomas Steiner |
Licensing
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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. |
  
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This file is licensed under the Creative Commons Attribution-Share Alike 3.0 Unported license. | |
| Attribution: Thire | ||
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| This licensing tag was added to this file as part of the GFDL licensing update. |
Original upload log
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Transferred from de.wikipedia to Commons by Wdwdbot using CommonsHelper.
- 2005-06-25 09:10 Thire 1024×768× (12128 bytes)
- 2005-06-25 08:16 Thire 1024×768× (11764 bytes) *Beschreibung: Das Delta für einen Put und einen Call nach Black Scholes zu verschiedenen Zeitpunkten *Quelle: selbst erstellt mit [[GNU R]]. *Fotograf oder Zeichner: [[Benutzer:Thire|Thomas Steiner]] {{Bild-GFDL}} R-Quelltext: bsDelta <-function (flag
File history
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| Date/Time | Thumbnail | Dimensions | User | Comment | |
|---|---|---|---|---|---|
| current | 04:38, 10 February 2014 | | 1,024 × 768 (12 KB) | OgreBot (talk | contribs) | (BOT): Reverting to most recent version before archival |
| 04:38, 10 February 2014 |  | 1,024 × 768 (11 KB) | OgreBot (talk | contribs) | (BOT): Uploading old version of file from de.wikipedia; originally uploaded on 2005-06-25 08:16:57 by Thire | |
| 22:52, 9 February 2014 |  | 1,024 × 768 (12 KB) | File Upload Bot (Magnus Manske) (talk | contribs) | Transfered from de.wikipedia by User:wdwdbot using CommonsHelper |
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