first time matlab user, trying to use fmincon for a simple question

2 Ansichten (letzte 30 Tage)
Brian O'Connell
Brian O'Connell am 3 Dez. 2021
Kommentiert: Matt J am 3 Dez. 2021
Hi, I am trying to use fmincon to get the best result for an input variable. I think I am close. Student here!
my input variables are
S0 = 1433.32; K = 1430; r = 0.0011; T = 30/365; sigma = .15;
y = ??
the y is my variable I need to change, so that the result of this function will be 24.5.
x0 = 24.9;
x = fmincon(blackScholesCallPrice,x0,[],[])
function [cprice] = blackScholesCallPrice( K, T, S0, r, y, sigma )
numerator = log(S0./K) + (r-y+0.5*sigma.^2).*T;
denominator = sigma.*sqrt(T);
d1 = numerator./denominator;
d2 = d1 - denominator;
cprice = S0 *exp(-y*T).* normcdf(d1) - exp(-r.*T).*K.*normcdf(d2);
end

Antworten (1)

Walter Roberson
Walter Roberson am 3 Dez. 2021
S0 = 1433.32; K = 1430; r = 0.0011; T = 30/365; sigma = .15;
x0 = 24.9;
x = fmincon(@(y)blackScholesCallPrice(K,T,S0,r,y,sigma), x0, [], [])
Initial point is a local minimum that satisfies the constraints. Optimization completed because at the initial point, the objective function is non-decreasing in feasible directions to within the value of the optimality tolerance, and constraints are satisfied to within the value of the constraint tolerance.
x = 24.9000
syms Y
X = blackScholesCallPrice( K, T, S0, r, Y, sigma )
X = 
dX = diff(X,Y)
dX = 
bestX = vpasolve(dX == 0)
bestX = Empty sym: 0-by-1
fplot(dX, [0 1])
limit(dX, Y, 0)
ans = 
vpa(ans)
ans = 
limit(dX, Y, inf)
ans = 
0
vpa(ans)
ans = 
0.0
function [cprice] = blackScholesCallPrice( K, T, S0, r, y, sigma )
numerator = log(S0./K) + (r-y+0.5*sigma.^2).*T;
denominator = sigma.*sqrt(T);
d1 = numerator./denominator;
d2 = d1 - denominator;
cprice = S0 *exp(-y*T).* normcdf(d1) - exp(-r.*T).*K.*normcdf(d2);
end
So the minimum of the function is at Y = infinity
  1 Kommentar
Matt J
Matt J am 3 Dez. 2021
Brian O'Connell's reply moved here:
HI, Thanks.
I am way out of my depth here. The lecturer said the cprice should be the midpoint of 24.1 - 24.9, which is why I put x0 = 24.5.
I think y is supped to equal 0.3. he just wants us to familiarise ourselves with using fmincon. Apparently its better than excel solver, which is where I got the result 0.3 for Y.
regards
brian

Melden Sie sich an, um zu kommentieren.

Kategorien

Mehr zu Nonlinear Optimization finden Sie in Help Center und File Exchange

Produkte


Version

R2021b

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by