|
|
EDA365欢迎您登录!
您需要 登录 才可以下载或查看,没有帐号?注册
x
程序如下function P=Price(V,r,vol_i,t00,t_i,K_i,init)1 v& h( e+ [! b0 y% f$ W$ ]
format long7 j- E6 |4 }3 s$ X5 E, | F! `
t=t_i;
M1 [) k `4 e* s7 FK=K_i;0 s0 Z5 K7 X5 `
vol=vol_i;" _- T& C2 E& z0 L2 O4 A
n=length(t);% computes the dimension of the problem
5 U% q9 c; y9 m1 X/ `qq=init;: `. t7 J6 T" @
C=zeros(n,1);1 }4 P5 k5 Y1 `" L" c0 a6 @5 G1 x3 i
initial=K(n,1)*qq;% F5 S' M7 T6 n3 h L
Vbar=zeros(n,1);
$ p) a% Q( F) t8 ~# o2 bN=zeros(n,n);
2 {0 u) A1 A! b. [N1=zeros(n,n);) e6 _& Q4 l ^, S5 }. V
a=zeros(n,n);0 C( m: E; v2 ~: N
a0=-inf.* ones(n,n);
" ]) S7 _6 k* }2 j2 `5 @" ab=zeros(n,n);7 \) n8 t# ]5 f3 J
b0=-inf.* ones(n,n);2 A1 u9 p0 L, u$ s% j* }5 ?) ]
h=zeros(n,n);
8 `% @# F1 }# N& A3 f2 M6 Dhl=zeros(n,n);$ O7 k/ c, D$ t- ^" X3 }
Vbar(n,1)=K(n,1);
# ^6 _- }: c* ^7 H, cfor s=n:-1:27 ^5 q, y! S6 h
current=s-1;
) q+ L5 i. I2 E& z' \- y( I% P# K D t0=t(current,1);
* t3 t9 H$ y7 H& ~+ g options=optimset('Display','off');: q3 \* H9 J0 U& U
Vbar(s-1,1)=fzero('@Price_ss',initial,options,s,Vbar,r,vol,t0,t,K); %在这一步出错
6 S# m" {, \- a2 i4 O5 ` initial=Vbar(s-1,1)*qq;7 T, K; U1 T. C/ Z: N
[c1,h1,al,b1,N1,w2,wl]=Price_s(V,s,Vbar,r,vol,t0,t,K);6 ^, B, h; |. |* t
C(s,1)=c1;# P" w; q1 q9 i% C e+ q
h(s, =hl;# J- b/ ?3 Y6 E& R
a(s, =al;# R5 I; w0 E N4 k9 M
b(s, =b1; s+ D7 P: ^+ ]3 l% Q& i9 a
N(s,:)=N1;
7 n! F: F& x1 e+ fend
. A1 q; Z5 t4 Z3 i' ~1 Uk=1;
& R3 s1 ?5 g, N8 R X8 z[c2,h2,a2,b2,N2,w4,w3]=Price_s(V,k,Vbar,r,vol,t00,t,K);
6 g" ]# `' E0 F. u; l7 q1 uC(k,1)=c2;! L ^/ `$ {, j8 ~
h(k,:)=h2;0 }/ j4 c Y. E' b( ?/ L4 N
a(k,:)=a2;
) a$ o" l, O% `b(k,:)=b2;
& @/ D2 A! W+ G3 s vN(k,:)=N2;
; s- z8 W; k3 M8 p2 y3 \/ o, lP=C(k,1);1 u0 J* ]9 C/ F' M/ M3 q
6 ^, W, k* A! K! E3 ]
4 X, e B; c5 h3 Q4 l# [# R报错) v8 T3 i8 {; O0 k& H# q# W
未定义与 'function_handle' 类型的输入参数相对应的运算符 '=='。0 \9 x- l" k/ k
出错 fzero (line 314)
+ M: D1 K% e! A: L- D* T if fx == 0# r0 y6 T+ k# l
出错 Price (line 24)
: L" V/ C. [* c/ S! X6 [5 B) s7 } Vbar(s-1,1)=fzero('@Price_ss',initial,options,s,Vbar,r,vol,t0,t,K);
2 q. w7 b: _; m S* E9 x/ V+ p a- l* R# j/ p& M
请大神指教
8 Q9 k1 c$ @& v |
|