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    %% Compute Asset-Or-Nothing Digitial Option Prices and Sensitivities 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 and sensitivity 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 delta, price, and gamma. 
OutSpec = { 'delta';'price';'gamma'};
[Delta, Price, Gamma] = assetsensbybls(RateSpec, StockSpec, Settle,...
Maturity, OptSpec, Strike, 'OutSpec', OutSpec)