AmericanBSPut_Greeks¶
Purpose¶
Computes Delta, Gamma, Theta, Vega, and Rho for American put options using the Black, Scholes, and Merton method.
Format¶
-
{ d, g, t, v, rh } =
AmericanBSPut_Greeks(S0, K, r, div, tau, sigma)¶ - Parameters
S0 (scalar) – current price.
K (Mx1 vector) – strike prices.
r (scalar) – risk free rate.
div (scalar) – continuous dividend yield.
tau (scalar) – elapsed time to exercise in annualized days of trading.
sigma (scalar) – volatility.
- Returns
d (Mx1 vector) – delta.
g (Mx1 vector) – gamma.
t (Mx1 vector) – theta.
v (Mx1 vector) – vega.
rh (Mx1 vector) – rho.
Global Input¶
-
_fin_thetaType¶ scalar, if 1, one day look ahead, else, infinitesmal. Default = 0.
-
_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
See also
Functions AmericanBSCall_ImpVol(), AmericanBSCall_Greeks(), AmericanBSPut_ImpVol()