BSPut
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Function Description
Returns the price 
of a European put option assuming that
the (generalised) Black-Scholes (i.e. Garman-Kohlhagen) pricing formula
applies.
If the current price of the underlying is 
, the strike (i.e.
exercise) price of the option is 
, the continuously compounded rate of
interest is 
, the continuously compounded annualised
dividend yield (assumed continuous not discrete) is 
, time now (in years)
is 
,
time at expiry is 
and the (annualised) implied
volatility is 
then the price of such an option is
given by:
where 
is
the cumulative unit normal distribution function (see MnCumulativeNormal),
i.e.
and:
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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| StrikePrice | Double | Strike price of option |
| UnderlyingPrice | Double | Current price of underlying |
| InterestCts | Double | Interest rate (continously compounded) |
| DividendCts | Double | Dividend yield (continuously compounded) |
| TimeNow | Double | Time now (typically 0) |
| TimeMaturity | Double | Time at maturity |
| ImpliedVolatility | Double | Implied volatility (of price of underlying) |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Derivative pricing functions
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Computation units used
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