www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceSensitiviSupershareDigitalOptExample.m
%% Compute Price and Sensitivities of Supershare Digital Options Using Black-Scholes Model % This example shows how to compute price and sensitivities of supershare % digital options using a Black-Scholes model. 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 and sensitivity of the supershare option % on February 1, 2009. %% % Copyright 2015 The MathWorks, Inc. Settle = 'Nov-1-2008'; Maturity = 'Feb-1-2009'; Rates = 0.045; Basis = 1; Compounding = -1; % define the RateSpec 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) % compute the delta and theta of the supershare option OutSpec = { 'delta';'theta'}; [Delta, Theta]= supersharesensbybls(RateSpec, StockSpec, Settle,... Maturity, StrikeLow, StrikeHigh, 'OutSpec', OutSpec)