Consider a European call and put cash-or-nothing options on a futures contract with and exercise strike price of $90, a fixed payoff of $10 that expires on October 1, 2008. Assume that on January 1, 2008, the contract trades at $110, and has a volatility of 25% per annum and the risk-free rate is 4.5% per annum. Using this data, calculate the price of the call and put cash-or-nothing options on the futures contract. 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 — Strike price value vector
Strike price value, specified as an
NINST-by-1 vector.
Data Types: double
Payoff — Payoff values vector
Payoff values (or the amount to be paid at expiration), specified as an
NINST-by-1 vector.
You can also select a web site from the following list:
How to Get Best Site Performance
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.