Putoption

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) → 2.67

Expects

s, x, t, r, and theta, all to be numeric.

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

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