HP 12C Platinum User Manual page 203

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 $52, return volatility of 20.54% per
month and a risk-free interest rate of 0.5% per month. Show how to change the
time scale of the inputs between monthly and annual values.
Keystrokes Keystrokes
(RPN mode) (ALG mode)
f] f[
6n 6n
.5¼ .5¼
52$ 52$
20.54P 20.54P
45M 45M
t t
~ ~
:gAn :gAn
:gC¼ :gC¼
:P :P§
12gr§P 12grP
t t
:ngA :ngA
:¼gC :¼gC
:P :Pz
12grzP 12grP
The next example is Example 12.7 from Options, Futures, and Other Derivatives
(5th Edition) by John C. Hull (Prentice Hall, 2002).
Section 13: Investment Analysis
Display
Time to expiry (months).
6.00
Interest rate (% per
0.50
month).
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
203