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assetbybls - Calculate price of asset-or-nothing digital options using Black-Scholes model

Syntax

Price = assetbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike)

Arguments

`RateSpec`	The annualized continuously compounded rate term structure. For information on the interest rate specification, see `intenvset`.
`StockSpec`	Stock specification. See `stockspec`.
`Settle`	`NINST`-by-`1` vector of settlement or trade dates.
`Maturity`	`NINST`-by-`1` vector of maturity dates.
`OptSpec`	`NINST`-by-`1` cell array of strings `'call'` or `'put'`.
`Strike`	`NINST`-by-`1` vector of payoff strike price values.

Description

Price = assetbybls(RateSpec, StockSpec, Settle, Maturity,OptSpec, Strike) computes asset-or-nothing option prices using the Black-Scholes option pricing model.

Price is a NINST-by-1 vector of expected option prices.

Examples

Consider two asset-or-nothing put options on a nondividend paying stock with a strike of 95 and 93 and expiring on January 30, 2009. On November 3, 2008 the stock is trading at 97.50. Using this data, calculate the price of the asset-or-nothing put options if the risk-free rate is 4.5% and the volatility is 22%.

Create the RateSpec:

Settle = 'Nov-3-2008';
Maturity = 'Jan-30-2009';
Rates = 0.045;
Compounding = -1;
RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,...
'EndDates', Maturity, 'Rates', Rates, 'Compounding', Compounding);

Define the StockSpec:

AssetPrice = 97.50;
Sigma = .22;
StockSpec = stockspec(Sigma, AssetPrice);

Define the put options:

OptSpec = {'put'};
Strike = [95;93];

Calculate the price:

Paon = assetbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike)

Paon =

   33.7666
   26.9662

assetbybls - Calculate price of asset-or-nothing digital options using Black-Scholes model

Syntax

Arguments

Description

Examples

See Also