generalized black scholes merton implementation

generalizedBlackScholesMerton.R

gBSM <- function(S, X, sigma, r, q, ttm, type){
#S = stock price
#X = strike price
#sigma = volatility
#r = risk free interest rate
#q = dividend yield
#ttm = time to maturity in days
#type = option type

  b <- r - q
  t <- ttm/365.25
  
  d1 <- (log(S / X) + (b + sigma ^ 2 / 2) * t) / (sigma * sqrt(t))
  d2 <- d1 - sigma * sqrt(t)
  
  if(type == "call"){
    price <- S * exp((b - r) * t) * pnorm(d1) - X * exp(-r * t) * pnorm(d2)
  }else if (type == "put"){
    price <-  (X * exp(-r * t) * pnorm(-d2) - S * exp((b - r) * t) * pnorm(-d1))
  }
  
  return(price)
}