PutParity: Put prices derived from put-call parity

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

Put prices derived from put-call parity

Usage

PutParity(Stock, Exercise, Time, Interest, Yield, Call_price)

Arguments

Stock	S0, the initial stock price
Exercise	K, the strike price
Time	T, the time to maturity in fractional years
Interest	r, the risk-free rate of return
Yield	q, the dividend yield
Call_price	the price of the call option to convert

Author(s)

George Fisher [e-mail]

Examples

# Hull 7th edition Ch 17 P 357
library(ustreasuries)
Stock    <- 49      # S_0
Exercise <- 50      # K
Time     <- 20/52   # T
Interest <- 0.05    # r
Yield    <- 0.13#0  # q
sigma    <- 0.20

EC = EuroCall(Stock, Exercise, Time, Interest, Yield, sigma)
EP = EuroPut(Stock, Exercise, Time, Interest, Yield, sigma)

PC = CallParity(Stock, Exercise, Time, Interest, Yield, EP)
PP = PutParity(Stock, Exercise, Time, Interest, Yield, EC)

writeLines(paste0("European Call Price: ", EC, "\n",
                  "Call Parity Price:   ", PC, "\n",
                  "Difference:          ", EC-PC, "\n\n",

                  "European Put Price:  ", EP, "\n",
                  "Put Parity Price:    ", PP, "\n",
                  "Difference:          ", EP-PP))

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.