AmericanBSPut ============================================== Purpose ---------------- Prices American put options using the Black, Scholes, and Merton method. Format ---------------- .. function:: c = AmericanBSPut(S0, K, r, div, tau, sigma) :param S0: current price. :type S0: scalar :param K: strike prices. :type K: Mx1 vector :param r: risk free rate. :type r: scalar :param div: continuous dividend yield. :type div: scalar :param tau: elapsed time to exercise in annualized days of trading. :type tau: scalar :param sigma: volatility. :type sigma: scalar :return c: put premiums. :rtype c: Mx1 vector Examples ---------------- :: S0 = 718.46; K = { 720, 725, 730 }; r = .0498; sigma = .2493; t0 = dtday(2001, 1, 30); t1 = dtday(2001, 2, 16); tau = elapsedTradingDays(t0, t1) / annualTradingDays(2001); c = AmericanBSPut(S0, K, r, 0, tau, sigma); print c; produces: :: 16.792288 19.429323 22.296926 References ------------ This procedure is based upon a quadratic approximation method described by John C. Hull. http://www-2.rotman.utoronto.ca/~hull/technicalnotes/TechnicalNote8.pdf Accessed August 2017. Source ------------ finprocs.src