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()