Difference between revisions of "Putoption"
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==Library== | ==Library== | ||
| − | [[Financial library functions]] | + | [[Financial library functions]] ([[media:Financial Library.ana|Financial Library.ana]]) |
| + | :Use [[File menu|File]] → '''Add Library...''' to add this library | ||
==Example== | ==Example== | ||
Latest revision as of 20:51, 24 May 2016
Function Putoption(s, x, t, r, theta)
Calculates the value of a put option using the Black-Scholes formula.
- 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
Comments
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