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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)