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)