HP 113394 User Guide - Page 200
Example 1, Keystrokes, RPN mode, ALG mode, Display
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200 Section 13: Investment Analysis 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 $52, return volatility of 20.54% per month and a risk-free interest rate of 0.5% per month. Show how to change the time scale of the inputs between monthly and annual values. Keystrokes (RPN mode) f] 6n .5¼ Keystrokes (ALG mode) f[ 6n .5¼ Display 6.00 0.50 52$ 52$ 20.54P 20.54P 45M t 45M t ~ ~ :gAn :gAn :gC¼ :gC¼ :P :P§ 12gr§P 12grP t t :ngA :ngA :¼gC :¼gC :P :Pz 12grzP 12grP 52.00 20.54 45.00 14.22 5.89 0.50 6.00 71.15 14.22 6.00 0.50 20.54 Time to expiry (months). Interest rate (% per month). Stock price. Volatility (% per month). Strike price. Call value. Put value. Years to expiry. Yearly interest rate %. Yearly volatility %. Call value (unchanged). Months to expiry. Monthly interest rate %. Monthly volatility %. The next example is Example 12.7 from Options, Futures, and Other Derivatives (5th Edition) by John C. Hull (Prentice Hall, 2002). 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