Section 13: Investment Analysis 203
File name: HP 12c Pt Converted_user's guide_English_HDP0F123E02_080207 Page: 201 of 281
Printed Date: { 2007/8/2Dimension: 14.8 cm x 21 cm
Example 1:
An option has 6 months to run and a strike price of $45. Find
Call and Put values assuming a spot price of $52, return volatility of 20.54% per
month and a risk-free interest rate of 0.5% per month. Show how to change the
time scale of the inputs between monthly and annual values.
Keystrokes
(RPN mode)
Keystrokes
(ALG mode)
Display
f]
f[
6
n
6
n
6.00
Time to expiry (months).
.5
¼
.5
¼
0.50
Interest rate (% per
month).
52
$
52
$
52.00
Stock price.
20.54
P
20.54
P
20.54
Volatility (% per month).
45
M
45
M
45.00
Strike price.
t t
14.22
Call value.
~ ~
5.89
Put value.
:gAn :gAn
0.50
Years to expiry.
:gC¼ :gC¼
6.00
Yearly interest rate %.
:P
12
gr§P
:P§
12
grP
71.15
Yearly volatility %.
t t
14.22
Call value (unchanged).
:ngA :ngA
6.00
Months to expiry.
:¼gC :¼gC
0.50
Monthly interest rate %.
:P
12
grzP
:Pz
12
grP
20.54
Monthly volatility %.
The next example is Example 12.7 from Options, Futures, and Other Derivatives
(5th Edition) by John C. Hull (Prentice Hall, 2002).
To Next Page
Loading...
Need help?
General
Weight and Dimensions
