Securities And Options; Discounted Notes; Black-Scholes Formula For Valuing European Options - HP 12c Platinum Reference Manual
Hp 12c platinum: reference guide
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Also See for 12c Platinum:
- User manual (288 pages) ,
- Owner's handbook manual (213 pages) ,
- Solutions handbook (166 pages)
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Securities and Options
Discounted Notes
Price (given discount rate)
B = number of days in year (annual basis).
DR = discount rate (as a decimal).
DSM = number of days from settlement date to maturity date.
P = dollar price per $100 per value.
RV = redemption value per $100 par value.
[ ]
=
P
RV
Yield (given price)
B = number of days in year (annual basis).
DSM = number of days from settlement date to maturity date.
P = dollar price per $100 par value.
RV = redemption value per $100 par value.
Y = annual yield of investment with security held to maturity (as a decimal).
RV
=
Y
P
Black-Scholes Formula for Valuing European Options
P = current asset price.
r%= risk-free rate (continuous, per time unit).
s% = volatility (continuous, per time unit).
T = term of option (same time unit as r% and s%).
X = exercise price of option.
N(z)= probability that a unit normal random variable is less than z.
Call Value =
Put Value = Call Value
where:
(
=
d
LN
1
(
−
T
=
Q
Xe
DSM
−
×
×
DR
RV
B
−
P
B
×
DSM
( )
×
−
×
P
N
d
Q
1
+
Q −
)
+
P
/
Q
/
v
v
2 /
,
d
2
)
×
r
%
/
100
=
,
v
s
%
/
( )
N
d
2
P
=
−
d
v
1
×
100
T
Appendix B 159
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