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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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2011-3-11

2012-8-2

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！！！ .custom_tag{background:none; padding-left:0;} .custom_tag a{text-decoration:none; margin-right:7px; display:inline-block;} .custom_tag a:hover{text-decoration:underline;} .custom_tag i{display: none;width: 60px;}
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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