www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeAssetOrNothingDigitalOptionPricesUsingtheBlackSchExample.m

    %% Compute Asset-Or-Nothing Digital Option Prices Using the Black-Scholes Option Pricing Model  

% Copyright 2015 The MathWorks, Inc.


%% 
% 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%. First, 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)