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[问答] 【求助】matlab-欧式期权定价之显式\隐式有限差分法 [分享]

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WenshanQi07 发表于 2012-7-17 21:21:03 |显示全部楼层
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!!!

关键词:MATLAB 有限差分法 matla atlab 期权定价 matlab

stata SPSS
caiyanfei 发表于 2012-7-17 21:28:52 |显示全部楼层
Svec - Vector of stock prices (i.e. grid points)
........is undefined.
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