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PUT

The PUT Command is used for price valuation models for Put Options.

In general, the format is:

PUT vars / options

The available options are:

OPTION DESCRIPTION
american Specifies that the stock option is American.
black Use the Black-Scholes option pricing model.
equal Use the equal jump model.
impvol Compute the implied volatility from the Black-Scholes model. The call or put option price must be specified with OPTIONP=
barrier= The barrier level for the asset price used in pricing an American down-and-out call option.
beg= Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
end= Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
dividend= Continuous dividend yield of the asset.
numtime= Specifies the number of time steps in the binomial tree to use for binomial option calculations.
optionp= Specifies the variable containing the option prices This is required for the IMPVOL option.
predictp= Stores the predicted option prices in the variable specified.
predictv= Stores the calculated implied volatilities in the variable specified.
riskfree Specifies the risk-free interest rate If the interest rate is 5% enter RISKFREE=5.
sigma= Specifies the standard deviation
strikeprice= Specifies the stock option strike price
time= Specifies the number of time periods until the stock option expires.
up= Size of proportional upward move.
down= Size of proportional downward move.