Needing help using MESHGRID (R2014b)
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Joe Bannen
am 22 Mär. 2015
Kommentiert: Star Strider
am 22 Mär. 2015
Hi
I am trying to plot a Black-Scholes surface:
I have the following simple code --
function C=bsf(S,t,E,r,sigma,T)
% Here our function is C=bsf(S,t,E,r,sigma,T)
% We will construct the Black-Scholes formula for
% a European call option
tau=T-t;
if tau>0
d1=(log(S/E)+(r+0.5*sigma^2)*tau)/(sigma*sqrt(tau));
d2=d1-sigma*sqrt(tau);
% From standard Black-Scholes materials
N1=0.5*(1+erf(d1/sqrt(2)));
N2=0.5*(1+erf(d2/sqrt(2)));
C=S*N1-E*exp(-r*tau)*N2;
else
C=max(S-E,0);
end
I input fixed values of E,r,sigma and T. Hence I need to input a range of values for S and t. I have attempted to construct a mesh via meshgrid:
[S,t]=meshgrid(linspace(0,3),linspace(0,1));
I then try to call the bsf code:
mesh(S,t,bsf)
This results in an error in Line 6 of the code (the construction of tau).
How do I get this to work or any pointers on where I am going wrong!
Many thanks
Joe
2 Kommentare
Star Strider
am 22 Mär. 2015
‘This results in an error in Line 6 of the code (the construction of tau).’
Would you be so kind as to tell us what the error is? (Copy and paste all the red output in the Command Window and paste it to a comment here.)
What are the sizes of ‘T’ and ‘t’?
Akzeptierte Antwort
Star Strider
am 22 Mär. 2015
You need to call your ‘bsf’ function as:
C=bsf(S,t,E,r,sigma,T);
then plot it as:
mesh(S,t,C)
Since ‘bsf’ is a function file, you have to pass to it all the arguments in its argument list. It will not pick up any variables from the workspace, as an anonymous function would.
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