EuropeanBSPut_Greeks

Purpose

Computes Delta, Gamma, Theta, Vega, and Rho for European put options using Black, Scholes, and Merton method.

Format

{ d, g, t, v, rh } = EuropeanBSPut_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 EuropeanBSPut_Greeks(S0, K, r, 0, tau, sigma);

produces:

-0.3554
   0.0085
 -15.1307
  65.2563
-39.54861

Source

finprocs.src

See also

Functions EuropeanBSPut_ImpVol(), EuropeanBSPut(), EuropeanBSCall_Greeks(), EuropeanBinomPut_Greeks()