HP 12c Platinum Reference Manual page 73
Hp 12c platinum: reference guide
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- User manual (288 pages) ,
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Example 1: An option has 6 months to run and a strike price of $45. Find Call and Put
values assuming a spot price of $52, return volatility of 20.54% per month and a risk-free
interest rate of ½% per month. Show how to re-scale n, i and PMT to use a yearly time
unit, and how to re-scale them back again to the original monthly basis.
12c platinum / 12C
RPN Keystrokes
6n
.5¼
52$
20.54P
45M
t
~
:gAn
:gC¼
:P
12gr§P
t
:ngA
:¼gC
:P
12grzP
The next example is Example 12.7 from Options, Futures, and Other Derivatives (5th
Edition) by John C. Hull (Prentice Hall, 2002).
Example 2: The stock price six months from the expiration of an option is $42, the
exercise price of the option is $40, the risk-free interest rate is 10% per annum, and the
volatility is 20% per annum. Find Call and Put values.
12c platinum / 12C
RPN Keystrokes
.5n
10¼
42$
20P
40M
t
~
12c platinum
ALG Keystrokes
6n
.5¼
52$
20.54P
45M
t
~
:gAn
:gC¼
:P§
12grP
t
:ngA
:¼gC
:Pz
12grP
12c platinum
ALG Keystrokes
.5n
10¼
42$
20P
40M
t
~
Securities and Options
Display
Time to expiry (months).
6.00
Interest rate (% per month).
0.50
Stock price.
52.00
Volatility (% per month).
20.54
Strike price.
45.00
Call value.
14.22
Put value.
5.89
Years to expiry.
0.50
Yearly interest rate %.
6.00
Yearly volatility %.
71.15
Call value (unchanged).
14.22
Months to expiry.
6.00
Monthly interest rate %.
0.50
Monthly volatility %.
20.54
Display
Time to expiry (years).
0.50
Interest rate (% per year).
10.00
Stock price.
42.00
Volatility (% per year).
20.00
Strike price.
40.00
Call value.
4.76
Put value.
0.81
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