HP 12C - Page 200

200 Section 13: Investment Analysis
File name: hp 12c pt_user's guide_English_HDPMF123E27 Page: 200 of 275
Printed Date: 2005/8/1 Dimension: 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).