AmericanBSPut_Greeks ============================================== Purpose ---------------- Computes Delta, Gamma, Theta, Vega, and Rho for American put options using the Black, Scholes, and Merton method. Format ---------------- .. function:: { d, g, t, v, rh } = AmericanBSPut_Greeks(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 d: delta. :rtype d: Mx1 vector :return g: gamma. :rtype g: Mx1 vector :return t: theta. :rtype t: Mx1 vector :return v: vega. :rtype v: Mx1 vector :return rh: rho. :rtype rh: Mx1 vector Global Input ------------ .. data:: _fin_thetaType *scalar*, if 1, one day look ahead, else, infinitesmal. Default = 0. .. data:: _fin_epsilon *scalar*, finite difference stepsize. Default = 1e-8. Examples ---------------- :: S0 = 305; K = 300; r = .08; sigma = .25; tau = .33; print AmericanBSPut_Greeks(S0, K, r, 0, tau, sigma); produces: :: -0.35320196 0.0061105530 -8.2280908 66.227314 -39.607080 Source ------------ finprocs.src .. seealso:: Functions :func:`AmericanBSCall_ImpVol`, :func:`AmericanBSCall_Greeks`, :func:`AmericanBSPut_ImpVol`