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%% 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)