www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/GapOptionPricesBlackScholesExample.m

    %% Compute Gap Option Prices Using the Black-Scholes Option Pricing Model
% This example shows how to compute gap option prices 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 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;
% calculate 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;
% calculate the price
Pgap = gapbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec,...
Strike, StrikeThreshold)