HP 20b Consultant Financial, 30b Professional manual Black-Scholes Example

Page 62

Black-Scholes Example

The historic prices for an asset and their dividends are listed in Table 7-2below. Given this data, calculate the call and put prices for the asset. The example is calculated with RPN set as the operating mode.

First, enter the historical asset prices and the dividend as ordered pairs in the Data menu. Enter the historical prices for the x values, and the dividend for each y value. For more information about entering data in the Data menu, see Chapter 12, Statistical Operations.

Table 7-2

Historical Asset

Dividend (y)

Price (x)

 

 

 

80

3

 

 

85

5

 

 

78

1

 

 

72

0

 

 

Open the Black-Scholes menu. Use the arrow keys, <or >, to scroll through the menu. With the menu item displayed, key in the value in the right column of the table followed by

I:

Table 7-3

Menu item

Value

 

 

Stock Price

74

 

 

Strike Price

72

 

 

Time to Maturity

0.3 (years)

 

 

Risk Free%

5

 

 

Volatility%

8.21

 

 

Dividend%

2.73

 

 

54 Black-Scholes Calculation Menu*

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Page 61 Page 63
Contents HP Part Number NW238-90001 Edition 1, December Legal Notice HP 20b Business Consultant HP 30b Business Professional Functions and Math Math On/Off/CancelLine, alphanumeric scrolling Common Mathematical Program menuPage Table of Contents Canadian Mortgage Example Cash Flow Example Sample Cash Flow Diagrams Bonds Bond MenuAmortization Interest Conversion Menu Black-Scholes MenuWelcome to your new HP Financial Calculator Basic FeaturesAdjusting the Display Contrast Turning the Calculator On and OffTwo Line Display Mode Menu Setting PreferencesCursor Dd.mmyyyy Changing the Calculation Mode Primary, Secondary, and Tertiary Key Functions Input Key Using the Input and Equals KeysAnnunciators Equals KeyReset Menu Editing and Clearing Entries On/CE KeyAccessing Menus and Menu Maps Memory and the Memory MenuBasic Features Fixed Cost Price Profit Quantity DWNNumber Entry and Display Mathematical CalculationsMathematical Functions Mathematical functions are locatedChain Mode Algebraic ModeIor =, followed by an operation key Reverse Polish Notation RPN ModeRPN Stack See -2for an example using the last number function Last Number+ 4 x 5 + U3IO1c23 I56c 3I4 5I6Duplicating a Number on the Stack One-Number Functions and the Math Menu RPN Stack and the Swap OperationRandom number Math MenuDWN Probability Sub-menu 10I 12ITwo-Number Functions 15I3hBinomial Functions Storing and Recalling with Time Value of Money TVM Keys Storing and Recalling NumbersRecall Arithmetic Percentages Recalling a Menu Item Value in a MenuRounding Numbers Mathematical Calculations Time Value of Money Time Value of Money TVM KeysCalculating Payments on a Loan Stores or calculates the amount of each periodic paymentAmortization 360N1400 00V Nb Per Start Balance Principal Interest10Y Creating an Amortization ScheduleAmortization Example KeysDisplayDescription Interest Conversion Menu To open the Interest Conversion menu IConv pressUsing the Interest Conversion Menu 360Canadian Mortgages TVM Canada DWNO300 N6Y35 0000 Canadian Mortgage ExampleCash Flows 000.00Cash Flow Example 4500 80005000 40001150 00IAnalyzing Cash Flows MirrInv. I% Safe I% DWN Mirr FmrrOpens the NPV menu Editing Cash Flows Displays FMRR% Sample Cash Flow Diagrams Sample Cash Flow Diagrams Cash FlowsBonds Set.Date Mat.DateBond Menu CPN%Bond Calculation Example 8201042020 =L1+ Volatility % Dividend % Call price Put price Black-Scholes Calculation MenuStock price Strike price Time to maturity Risk-free % Black-Scholes Menu Volatility % input Black-Scholes Example 78I 80I85I 72IPress to scroll to Date Calculation Example Date CalculationDate Calculation Menu Date Days Between Actual Cal.3602010 3120 10IBreak-even Example Break-evenBreak-even Menu 300 1500 00I250 100 00IBusiness Problems Percent Calculation Menu15I Percent Calculation Examples20I 80I Is what % of 80?Book Value Depreciable DepreciationPress Ito scroll through the options Sline Depreciation Menu SoydDepreciation Example 10000I 500 Depreciation Statistical Operations Ax2+bx+c onlyData and Stats Menus Statistics Menu Items Description Std. Dev Statistics Example 3I1 60I 1I1 50I2I1 65I 4I1 75IStatistical Operations Key Presses for Program Instructions ProgrammingProgramming the HP 30b Hold Programming Example HoldProgram Step Reassigning Menu Functions To a specific label Program Menu and Program EditingFollowed by a label number to go Use the following keystrokes to enter the program Tests and Jump FunctionsCreates label 03 in your program. You can Long Programs and Battery Life Sub-Function CallDSE 05003$1Other Programming Functions ISG , followed by 1 digitMessages Calculates the volume Debugging a ProgramSaving, Restoring, and Modifying Mode Settings L1hL1-L2= Hold SolveProgramming Error Messages Error Messages and Calculator StatusError Messages Status ER Unique solution to IRR Not Found Replacing the Batteries Warranty, Regulatory, and Contact InformationHP Limited Hardware Warranty and Customer Care General TermsWarranty, Regulatory, and Contact Information Avis Canadien ModificationsCanadian Notice European Union Regulatory NoticeLow Voltage Directive 2006/95/EC EMC Directive 2004/108/EC Customer Care Contact InformationPerchlorate Material special handling may apply 香港特別行政區 Martinica 08 5199 Country/Region Contact Vietnam +65-6272-5300 Viêt Nam Zambia Warranty, Regulatory, and Contact Information Symbols Checksum 78 Combinations Date CalendarCash flow Debugging 85 DecimalKey presses Keyboard map and legend Language Insert and delete keys Interest ConversionInternal rate of return Investment Rate Key MarginPercent Calculation MathOn HP 30b Parentheses Percentages PermutationsRPN Stop 83 StoreThousands separator Time Value of Money
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30b Professional, 20b Consultant Financial specifications

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