%% Compute Asset-Or-Nothing Digital Option Prices and Sensitivities Using the Black-Scholes Option Pricing Model
% 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)

% Copyright 2015 The MathWorks, Inc.