www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/GapOptionPriceSensBlackScholExample.m
%% Compute Gap Option Prices and Sensitivities Using the Black-Scholes Option Pricing Model % This example shows how to compute gap option prices and sensitivities % using the Black-Scholes option pricing model. Consider a gap call and put % options on a nondividend paying stock with a strike of 57 and expiring on % January 1, 2008. On July 1, 2008 the stock is trading at 50. Using this % data, compute the price and sensitivity of the option if the risk-free % rate is 9%, the strike threshold is 50, and the volatility is 20%. %% % Copyright 2015 The MathWorks, Inc. Settle = 'Jan-1-2008'; Maturity = 'Jul-1-2008'; Compounding = -1; Rates = 0.09; %create the RateSpec RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,... 'EndDates', Maturity, 'Rates', Rates, 'Compounding', Compounding, 'Basis', 1); % define the StockSpec AssetPrice = 50; Sigma = .2; StockSpec = stockspec(Sigma, AssetPrice); % define the call and put options OptSpec = {'call'; 'put'}; Strike = 57; StrikeThreshold = 50; % compute the price Pgap = gapbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec,... Strike, StrikeThreshold) % compute the gamma and delta OutSpec = {'gamma'; 'delta'}; [Gamma ,Delta] = gapsensbybls(RateSpec, StockSpec, Settle, Maturity,... OptSpec, Strike, StrikeThreshold, 'OutSpec', OutSpec)