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.
Interest-rate term structure (annualized and continuously compounded),
specified by the RateSpec obtained from intenvset. For
information on the interest-rate specification, see intenvset.
Data Types: struct
StockSpec — Stock specification for underlying asset structure
Stock specification for the underlying asset. For information on the stock
specification, see stockspec.
stockspec handles several
types of underlying assets. For example, for physical commodities the price
is StockSpec.Asset, the volatility is
StockSpec.Sigma, and the convenience yield is
StockSpec.DividendAmounts.
Data Types: struct
Settle — Settlement or trade date serial date number | date character vector
Settlement or trade date for the basket option, specified as an
NINST-by-1 vector of serial date
numbers or date character vectors.
Data Types: double | char | cell
Maturity — Maturity date serial date number | date character vector
Maturity date for the basket option, specified as an
NINST-by-1 vector of serial date
numbers or date character vectors.
Data Types: double | char | cell
OptSpec — Definition of option character vector with values 'call' or
'put' | cell array of character vectors with values 'call' or
'put'
Definition of the option as 'call' or
'put', specified as an
NINST-by-1 vector.
Data Types: char | cell
Strike — Pay-off strike value vector
Pay-off strike value, specified as an
NINST-by-1 vector.
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