EuropeanBinomPut_Greeks ============================================== Purpose ---------------- Computes Delta, Gamma, Theta, Vega, and Rho for European put options using binomial method. Format ---------------- .. function:: { d, g, t, v, rh } = EuropeanBinomPut_Greeks(S0, K, r, div, tau, sigma, N) :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 :param N: number of time segments. A higher number of time segments will increase accuracy at the expense of increased computation time. :type N: 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, infinitesimal. Default = 0. .. data:: _fin_epsilon scalar, finite difference stepsize. Default = 1e-8. Examples ---------------- :: // Specify current price S0 = 305; // Specify strike price K = 300; // Specify risk free rate r = .08; // Specify dividend div = 0; // Specify volatility sigma = .25; // Specify elapsed time to exercise (annualized days) tau = .33; // Call EuropeanBinomPut_Greeks print EuropeanBinomPut_Greeks(S0, K, r, 0, tau, sigma, 60); produces: :: -0.34988100 0.0015276382 5.0166433 65.431637 -39.652250 Remarks ------- The binomial method of Cox, Ross, and Rubinstein ("Option pricing: a simplified approach", *Journal of Financial Economics*, 7:229:264) as described in *Options, Futures, and other Derivatives* by John C. Hull is the basis of this procedure. Source ------ finprocs.src .. seealso:: Functions :func:`EuropeanBinomPut_ImpVol`, :func:`EuropeanBinomPut`, :func:`EuropeanBinomCall_Greeks`, :func:`EuropeanBSPut_Greeks`