HP 12C User Manual page 200

200 Section 13: Investment Analysis
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 $52, return volatility of 20.54% per
month and a risk-free interest rate of 0.5% per month. Show how to change the
time scale of the inputs between monthly and annual values.
Keystrokes
(RPN mode)
f]
6n
.5¼
52$
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).
File name: hp 12c pt_user's guide_English_HDPMF123E27
Printed Date: 2005/8/1
Keystrokes
Display
(ALG mode)
f[
6.00
6n
0.50
.5¼
52.00
52$
20.54
20.54P
45.00
45M
t
14.22
~
5.89
:gAn
0.50
:gC¼
6.00
:P§
12grP 71.15
t
14.22
:ngA
6.00
:¼gC
0.50
:Pz
12grP
20.54
Page: 200 of 275
Dimension: 14.8 cm x 21 cm
Time to expiry (months).
Interest rate (% per
month).
Stock price.
Volatility (% per month).
Strike price.
Call value.
Put value.
Years to expiry.
Yearly interest rate %.
Yearly volatility %.
Call value (unchanged).
Months to expiry.
Monthly interest rate %.
Monthly volatility %.