%% Compute Option Prices Using the Black-Scholes Option Pricing Model
% This example shows how to compute option prices using the Black-Scholes option pricing model. Consider two European options, a call and a put, with an exercise price of $29 on January 1, 2008. The options expire on May 1, 2008. Assume that the underlying stock for the call option provides a cash dividend of $0.50 on February 15, 2008. The underlying stock for the put option provides a continuous dividend yield of 4.5% per annum. The stocks are trading at $30 and have a volatility of 25% per annum. The annualized continuously compounded risk-free rate is 5% per annum. Using this data, compute the price of the options using the Black-Scholes model.

Strike = 29;
AssetPrice = 30;
Sigma = .25;
Rates = 0.05;
Settle = 'Jan-01-2008';
Maturity = 'May-01-2008';

% define the RateSpec and StockSpec
RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, 'EndDates',...
Maturity, 'Rates', Rates, 'Compounding', -1);

DividendType = {'cash';'continuous'};
DividendAmounts = [0.50; 0.045];
ExDividendDates = {'Feb-15-2008';NaN};

StockSpec = stockspec(Sigma, AssetPrice, DividendType, DividendAmounts,...
ExDividendDates);

OptSpec = {'call'; 'put'};

Price = optstockbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike)

% Copyright 2015 The MathWorks, Inc.