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We will make a plot of the Black76 theoretical price of a European put option as a function of the current futures price. The exercise price is 45, there are 4 months to maturity, the 4 month spot interest rate is 5 percent, and the volatility is 40 percent per year.
Load the DerivativesExpert`Options` package and the DerivativesExpert`Black76` package from within Excel.
The function is entered in an Excel cell as:
=Math("Plot","TheoreticalPrice[ EuropeanPutOption, Black76[ f, 45, 4/12, 5, 40]]", "{f,1,100}", "PlotRange -> All", "AxesLabel -> {""futures price"", ""option price""}")
The plot shows that the put option price decreases as a function of
the price of the underlying instrument.
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Updated 2 August 2009 |