supersharebybls - Calculate price of supershare digital options using Black-Scholes model

Syntax

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.
StrikeLow	NINST-by-1 vector of low strike price values.
StrikeHigh	NINST-by-1 vector of high strike price values.

Description

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.

Examples

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.

Create the RateSpec:

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

See Also

assetbybls | cashbybls | gapbybls | supersharesensbybls

© 1984-2012- The MathWorks, Inc.    -   Site Help   -   Patents   -   Trademarks   -   Privacy Policy   -   Preventing Piracy   -   RSS