BlackScholesPutPrice function

Price of European Put Option

Derives the price of European call option using the Black-Scholes approach

BlackScholesPutPrice(stockPrice, strike, rf, sigma, t)

Arguments

• stockPrice: Stock price of underlying stock
• strike: Strike price of the option
• rf: Risk-free rate and is annualised
• sigma: Volatility of the underlying stock
• t: The term to maturity of the option in years

Returns

Price of European Call Option

Examples

# Estimates the price of an American Put
   BlackScholesPutPrice(27.2, 25, .03, .2, 60)

Author(s)

Dinesh Acharya

References

Dowd, Kevin. Measuring Market Risk, Wiley, 2007.

Hull, John C.. Options, Futures, and Other Derivatives. 5th ed., p. 246.

Lyuu, Yuh-Dauh. Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.