*
* Replication of graphs from pp 269-271
*
* Effect of current stock price
*
set p      1 120 = t
set call80 1 120 = 0.0
set put80  1 120 = 0.0
*
do time=1,120
   @BSoption(price=p(time),sigma=.30,rate=.06,strike=80,expire=.25)     call80(time)
   @BSoption(price=p(time),sigma=.30,rate=.06,strike=80,expire=.25,put) put80(time)
end do time
*
spgraph(footer="Figure 6.3 Marginal effects of current stock price on the price of an option",hfields=2)
scatter(style=line,header="(a) Call options",vlabel="Value of a call",hlabel="Current Stock Price")
# p call80
scatter(style=line,header="(a) Put options",vlabel="Value of a put",hlabel="Current Stock Price")
# p put80
spgraph(done)
*
* Effect of time to expiration
*
set call70 1 120 = 0.0
set put70  1 120 = 0.0
set call90 1 120 = 0.0
set put90  1 120 = 0.0
*
set expire 1 100 = .01*t
*
do time=1,100
   @BSoption(price=70,sigma=.30,rate=.06,strike=80,expire=expire(time))     call70(time)
   @BSoption(price=70,sigma=.30,rate=.06,strike=80,expire=expire(time),put) put70(time)
   @BSoption(price=80,sigma=.30,rate=.06,strike=80,expire=expire(time))     call80(time)
   @BSoption(price=80,sigma=.30,rate=.06,strike=80,expire=expire(time),put) put80(time)
   @BSoption(price=90,sigma=.30,rate=.06,strike=80,expire=expire(time))     call90(time)
   @BSoption(price=90,sigma=.30,rate=.06,strike=80,expire=expire(time),put) put90(time)
end do time
*
spgraph(footer="Figure 6.4 Marginal effects of time to expiration on the price of an option",hfields=2)
scatter(style=line,header="(a) Call options",vlabel="Value of a call",hlabel="Time to expiration",$
  key=upleft,klabels=||"P=70","P=80","P=90"||) 3
# expire call70
# expire call80
# expire call90
scatter(style=line,header="(a) Put options",vlabel="Value of a put",hlabel="Time to expiration",$
  key=loright,klabels=||"P=70","P=80","P=90"||) 3
# expire put70
# expire put80
# expire put90
spgraph(done)
*
*
* Effect of volatility
*
set volatile 1 120 = .01*t
*
do time=1,100
   @BSoption(price=70,sigma=volatile(time),rate=.06,strike=80,expire=0.25)     call70(time)
   @BSoption(price=70,sigma=volatile(time),rate=.06,strike=80,expire=0.25,put) put70(time)
   @BSoption(price=80,sigma=volatile(time),rate=.06,strike=80,expire=0.25)     call80(time)
   @BSoption(price=80,sigma=volatile(time),rate=.06,strike=80,expire=0.25,put) put80(time)
   @BSoption(price=90,sigma=volatile(time),rate=.06,strike=80,expire=0.25)     call90(time)
   @BSoption(price=90,sigma=volatile(time),rate=.06,strike=80,expire=0.25,put) put90(time)
end do time
*
spgraph(footer="Figure 6.5 Marginal effects of volatility on the price of an option",hfields=2)
scatter(style=line,header="(a) Call options",vlabel="Value of a call",hlabel="Volatility",$
  key=upleft,klabels=||"P=70","P=80","P=90"||) 3
# expire call70
# expire call80
# expire call90
scatter(style=line,header="(a) Put options",vlabel="Value of a put",hlabel="Volatility",$
  key=loright,klabels=||"P=70","P=80","P=90"||) 3
# expire put70
# expire put80
# expire put90
spgraph(done)