%% 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%.

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)

% Copyright 2015 The MathWorks, Inc.