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Calculate price of supershare digital options using Black-Scholes model


Price = supersharebybls(RateSpec,StockSpec,Settle,Maturity,OptSpec,StrikeLow,StrikeHigh)



The annualized, continuously compounded rate term structure. For information on the interest rate specification, see intenvset.


Stock specification. See stockspec.


NINST-by-1 vector of settlement or trade dates.


NINST-by-1 vector of maturity dates.


NINST-by-1 vector of low strike price values.


NINST-by-1 vector of high strike price values.


Price = supersharebybls(RateSpec,StockSpec,Settle,Maturity,OptSpec,StrikeLow,StrikeHigh) computes supershare digital option prices using the Black-Scholes model.

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


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This example shows how to compute the price of supershare digital options using Black-Scholes model. Consider a supershare based on a portfolio of nondividend paying stocks with a lower strike of 350 and an upper strike of 450. The value of the portfolio on November 1, 2008 is 400. The risk-free rate is 4.5% and the volatility is 18%. Using this data, calculate the price of the supershare option on February 1, 2009.

Settle = 'Nov-1-2008';
Maturity = 'Feb-1-2009';
Rates = 0.045;
Basis = 1;
Compounding = -1;

% create the RateSpec
RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,...
'EndDates', Maturity, 'Rates', Rates, 'Compounding', Compounding, 'Basis', Basis);

% define the StockSpec
AssetPrice = 400;
Sigma = .18;
StockSpec = stockspec(Sigma, AssetPrice);

% define the high and low strike points
StrikeLow = 350;
StrikeHigh = 450;

% calculate the price
Pssh = supersharebybls(RateSpec, StockSpec, Settle, Maturity,...
StrikeLow, StrikeHigh)
Pssh = 0.9411

Introduced in R2009a

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