Putoption


Function Putoption(s, x, t, r, theta)

Calculates the value of a put option using the Black-Scholes formula.

Syntax:

Putoption(s, x, t, r, theta: Numeric)

Parameters:

«s»
the current price of the security
«x»
the exercise price
«t»
the time in years to exercise
«r»
the risk-free interest rate
«theta»
the volatility of the security

Function definition:

USING d1 := (ln(S/X) + (t*(r + (0.5*theta^2))))/(theta*t^0.5)
DO (x*exp(-r*t)*CumNormal(-d1 + (theta*t^0.5)) - (s*CumNormal(-d1))

Library

Financial library functions (Financial Library.ana)

Use File → Add Library... to add this library

Example

Putoption(50, 50, 0.25, 0.05, 0.3) → 2.67

See also

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