I answer my self. First I create a multipage .eps file. Once I have this multipage .eps file, I add the bookmark. Code is as follows:
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%Create a figure
print( 'file.eps', '-dpsc');
%Create another figure
print( 'file.eps', '-dpsc','-append');
%Do the same again and again...
...
%Create bookMarks
sBookMarks = strrep(sBookMarks ,'%%BeginProlog', sprintf('[/Title (%s) /Page 1 /OUT pdfmark [/Title (%s) /Page 2 /OUT pdfmark [/Title (%s) /Page 3 /OUT pdfmark [/Title (%s) /Page 4 /OUT pdfmark [/Title (%s) /Page 5 /OUT pdfmark [/Title (%s) /Page 6 /OUT pdfmark [/Title (%s) /Page 7 /OUT pdfmark [/Title (%s) /Page 8 /OUT pdfmark [/Title (%s) /Page 9 /OUT pdfmark [/Title (%s) /Page 10 /OUT pdfmark [/Title (%s) /Page 11 /OUT pdfmark [/Title (%s) /Page 12 /OUT pdfmark',... sTitle1 , sTitle2 , sTitle3 , sTitle4 , sTitle5 , sTitle6 , sTitle7 , sTitle8 , sTitle9 , sTitle10, sTitle11, sTitle12));
%Open file.eps
fid = fopen('file.eps', 'w');
%Incorporate the bookmarks to the file
fwrite(fid , sBookMarks , 'char*1');
%Close file
fclose( fid );
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I create a different bookmark for each page. Then, you can transform the .eps file with the included bookmarks in a pdf using for example the pdf creator.
If you want to read more about this topic, I found the solution reading this website: http://blog.tremily.us/posts/PDF_bookmarks_with_Ghostscript/
Best regards,
Ignacio