block4.R

BlackScholes <- function(S, K, r, T, sig, type){
  if(type=="Call"){
    d1 <- (log(S/K) + (r + sig^2/2)*T) / (sig*sqrt(T))
    d2 <- d1 - sig*sqrt(T)
    value <- S*pnorm(d1) - K*exp(-r*T)*pnorm(d2)
    return(value)}
  if(type=="Put"){
    d1 <- (log(S/K) + (r + sig^2/2)*T) / (sig*sqrt(T))
    d2 <- d1 - sig*sqrt(T)
    value <- (K*exp(-r*T)*pnorm(-d2) - S*pnorm(-d1))
    return(value)}
}

putPrice <- matrix(0,38,1000)

for (s in 1:ncol(gbm)){
  for (t in 1:nrow(gbm)) {
    putPrice[t,s] <- BlackScholes(gbm[t,s], 122.5, 0.01, (nrow(gbm)+1-t)/365, 0.37, "Put")
  }
}