Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

gapbybls

Determine price of gap digital options using Black-Scholes model

Syntax

Price = gapbybls(RateSpec,StockSpec,Settle,Maturity,OptSpec,Strike,StrikeThreshold)

Arguments

RateSpec

The annualized, continuously compounded rate term structure. For information on the interest rate specification, see intenvset.

StockSpec

Stock specification. See stockspec.

Settle

NINST-by-1 vector of settlement or trade dates.

Maturity

NINST-by-1 vector of maturity dates.

OptSpec

NINST-by-1 cell array of character vectors with values of 'call' or 'put'.

Strike

NINST-by-1 vector of payoff strike price values.

StrikeThreshold

NINST-by-1 vector of strike values that determine if the option pays off.

Description

Price = gapbybls(RateSpec,StockSpec,Settle,Maturity,OptSpec,Strike,StrikeThreshold) computes gap option prices using the Black-Scholes option pricing model.

Price is a NINST-by-1 vector of expected option prices.

Examples

collapse all

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%.

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)
Pgap = 

   -0.0053
    4.4866

Introduced in R2009a

Was this topic helpful?