Difference between revisions of "Putoption"

Revision as of 20:33, 25 June 2007

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

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

Parameters: s is the current price of the security;
x is the exercise price;
t is the time in years to exercise;
r is the risk-free interest rate;
theta is 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))
Syntax: Putoption(s,x,t,r,theta:Numeric)
Library: Financial library functions
More Examples and Tips: None yet.

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-[[Category:Doc Status D]] <!-- For Lumina use, do not change -->
+[[Category:Doc Status C]] <!-- For Lumina use, do not change -->
+===Function Putoption(s,x,t,r,theta)===
+Calculates the value of a put option using the Black-Scholes formula.
+;Example
+ Putoption(50, 50, 0.25, 0.05, 0.3) &rarr; 2.67
+; Expects: '''s''', '''x''', '''t''', '''r''', and '''theta''', all to be numeric.
+; Parameters: '''s''' is the current price of the security;<br>'''x''' is the exercise price;<br>'''t''' is the time in years to exercise;<br>'''r''' is the risk-free interest rate;<br>'''theta''' is the volatility of the security
+; Function definition: USING d1 := (ln(S/X) + (t * (r + (0.5 * theta^2))))/(theta * t^0.5)<br>DO  (x * exp(-r * t) * Cumnormal(-d1 + (theta * t^0.5)) - (s * Cumnormal(-d1))
+; [[Syntax]]: Putoption(s,x,t,r,theta:Numeric)
+; Library: [[Financial library functions]]
+; More Examples and Tips:  ''None yet.''