【求助】matlab-欧式期权定价之显式\隐式有限差分法-经管之家官网！

论文研究的是用显式和隐式有限差分法研究欧式期权定价 需要用到matlab 可是本人matlab无能 于是在网上找到了已经编写好的代码 但问题是 我把代码复制到matlab的m.file里 然后点击运行 可是出来的结果 总是显示有error啊 怎样改才能顺利运行呢？
显式代码如下
function oPrice = finDiffExplicit(X,S0,r,sig,Svec,tvec,oType)
% Function to calculate the price of a vanilla European
% Put or Call option using the explicit finite difference method
%
% oPrice = finDiffExplicit(X,r,sig,Svec,tvec,oType)
%
% Inputs: X - strike
% : S0 - stock price
% : r - risk free interest rate
% : sig - volatility
% : Svec - Vector of stock prices (i.e. grid points)
% : tvec - Vector of times (i.e. grid points)
% : oType - must be 'PUT' or 'CALL'.
%
% Output: oPrice - the option price
%
% Notes: This code focuses on details of the implementation of the
% explicit finite difference scheme.
% It does not contain any programatic essentials such as error
% checking.
% It does not allow for optional/default input arguments.
% It is not optimized for memory efficiency, speed or
% use of sparse matrces.
% Author: Phil Goddard (phil@goddardconsulting.ca)
% Date: Q4, 2007
% Get the number of grid points
M = length(Svec)-1;
N = length(tvec)-1;
% Get the grid sizes (assuming equi-spaced points)
dt = tvec(2)-tvec(1);
% Calculate the coefficients
% To do this we need a vector of j points
j = 1:M-1;
sig2 = sig*sig;
j2 = j.*j;
aj = 0.5*dt*(sig2*j2-r*j);
bj = 1-dt*(sig2*j2+r);
cj = 0.5*dt*(sig2*j2+r*j);
% Pre-allocate the output
price(1:M+1,1:N+1) = nan;
% Specify the boundary conditions
switch oType
case 'CALL'
% Specify the expiry time boundary condition
price(:,end) = max(Svec-X,0);
% Put in the minimum and maximum price boundary conditions
% assuming that the largest value in the Svec is
% chosen so that the following is true for all time
price(1,:) = 0;
price(end,:) = (Svec(end)-X)*exp(-r*tvec(end:-1:1));
case 'PUT'
% Specify the expiry time boundary condition
price(:,end) = max(X-Svec,0);
% Put in the minimum and maximum price boundary conditions
% assuming that the largest value in the Svec is
% chosen so that the following is true for all time
price(1,:) = (X-Svec(end))*exp(-r*tvec(end:-1:1));
price(end,:) = 0;
end
% Form the tridiagonal matrix
A = diag(bj);% Diagonal terms
A(2:M:end) = aj(2:end); % terms below the diagonal
A(M:M:end) = cj(1:end-1); % terms above the diagonal
% Calculate the price at all interior nodes
offsetConstants = [aj(1); cj(end)];
for i = N:-1:1
price(2:end-1,i) = A*price(2:end-1,i+1);
% Offset the first and last terms
price([2 end-1],i) = price([2 end-1],i) + ...
offsetConstants.*price([1 end],i+1);
end
% Calculate the option price
oPrice = interp1(Svec,price(:,1),S0);
运行结果如下：
??? Input argument "Svec" is undefined.
Error in ==> finDiffExplicit at 29
M = length(Svec)-1;
隐式代码如下：
function oPrice = finDiffImplicit(X,S0,r,sig,Svec,tvec,oType)
% Function to calculate the price of a vanilla European
% Put or Call option using the implicit finite difference method
%
% oPrice = finDiffImplicit(X,r,sig,Svec,tvec,oType)
%
% Inputs: X - strike
% : S0 - stock price
% : r - risk free interest rate
% : sig - volatility
% : Svec - Vector of stock prices (i.e. grid points)
% : tvec - Vector of times (i.e. grid points)
% : oType - must be 'PUT' or 'CALL'.
%
% Output: oPrice - the option price
%
% Notes: This code focuses on details of the implementation of the
% implicit finite difference scheme.
% It does not contain any programatic essentials such as error
% checking.
% It does not allow for optional/default input arguments.
% It is not optimized for memory efficiency, speed or
% use of sparse matrces.
% Author: Phil Goddard (phil@goddardconsulting.ca)
% Date: Q4, 2007
% Get the number of grid points
M = length(Svec)-1;
N = length(tvec)-1;
% Get the grid sizes (assuming equi-spaced points)
dt = tvec(2)-tvec(1);
% Calculate the coefficients
% To do this we need a vector of j points
j = 0:M;
sig2 = sig*sig;
aj = (dt*j/2).*(r - sig2*j);
bj = 1 + dt*(sig2*(j.^2) + r);
cj = -(dt*j/2).*(r + sig2*j);
% Pre-allocate the output
price(1:M+1,1:N+1) = nan;
% Specify the boundary conditions
switch oType
case 'CALL'
% Specify the expiry time boundary condition
price(:,end) = max(Svec-X,0);
% Put in the minimum and maximum price boundary conditions
% assuming that the largest value in the Svec is
% chosen so that the following is true for all time
price(1,:) = 0;
price(end,:) = (Svec(end)-X)*exp(-r*tvec(end:-1:1));
case 'PUT'
% Specify the expiry time boundary condition
price(:,end) = max(X-Svec,0);
% Put in the minimum and maximum price boundary conditions
% assuming that the largest value in the Svec is
% chosen so that the following is true for all time
price(1,:) = (X-Svec(end))*exp(-r*tvec(end:-1:1));
price(end,:) = 0;
end
% Form the tridiagonal matrix
B = diag(aj(3:M),-1) + diag(bj(2:M)) + diag(cj(2:M-1),1);
[L,U] = lu(B);
% Solve at each node
offset = zeros(size(B,2),1);
for idx = N:-1:1
offset(1) = aj(2)*price(1,idx);
% offset(end) = c(end)*price(end,idx); % This will always be zero
price(2:M,idx) = U\(L\(price(2:M,idx+1) - offset));
end
% Calculate the option price
oPrice = interp1(Svec,price(:,1),S0);
隐式运行结果如下：
??? Input argument "Svec" is undefined.
Error in ==> finDiffImplicit at 29
M = length(Svec)-1;
我也试着在command window里直接调用 可是同样有问题啊 如下所示
>> finDiffExplicit(29.0,30.0,0.05,0.25,0:0.05:150,0:0.01:0.33,'call')
Warning: NaN found in Y, interpolation at undefined values
will result in undefined values.
> In interp1 at 179
In finDiffExplicit at 81
ans =
NaN
>> finDiffImplicit(29.0,30.0,0.05,0.25,0:0.05:150,0:0.01:0.33,'call')
Warning: NaN found in Y, interpolation at undefined values
will result in undefined values.
> In interp1 at 179
In finDiffImplicit at 78
ans =
NaN
另外 是不是如果代码成功的话 matlab不但能给出一个价格 还能作出图像呢
哪位好心的牛人可以帮帮我呀？如果能成功帮我搞定论文里有关matlab的部分 我愿意支付酬劳以作答谢
万分感谢！！！