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程序如下function P=Price(V,r,vol_i,t00,t_i,K_i,init)+ L% \: @4 H8 R! E; d
format long
- X2 L7 j# h& _/ ?& @% [6 Zt=t_i;
8 H+ E6 ~ R7 x( U8 y) LK=K_i;0 x1 q* G+ r6 d$ b
vol=vol_i;$ y0 a5 n8 _0 G5 y, k; x
n=length(t);% computes the dimension of the problem# N7 E/ m9 Y+ h% h; Y: N4 l- Q" X) s
qq=init;+ O8 T6 \2 h* d+ @
C=zeros(n,1);) o& Y8 l9 o1 P4 B5 O
initial=K(n,1)*qq;
1 b5 B- q# b8 T, F3 aVbar=zeros(n,1);
- f9 U, F) [# V+ U/ b4 q& K: sN=zeros(n,n);
; |+ ]" ^* k5 p3 Z b6 p9 B0 KN1=zeros(n,n);
4 J8 p% `. Y: K2 ka=zeros(n,n);3 x/ K* h- S2 p- @9 ]8 f3 v9 F
a0=-inf.* ones(n,n);, r; ^0 Y( H+ ~$ T2 B- n: y
b=zeros(n,n);/ ?0 {0 u( x; {1 J2 L2 V
b0=-inf.* ones(n,n);& ?% w- r$ j) W* [8 Y
h=zeros(n,n);5 d% v) e0 m# g
hl=zeros(n,n);+ Z: g3 A( V) c( D' j7 m# k8 R- v
Vbar(n,1)=K(n,1);- ~# d( H& C( z' R, e' ?
for s=n:-1:2
7 J1 y9 F* [/ X' F current=s-1;
, l, s# T/ P' r1 } t0=t(current,1);
- B+ E9 m$ W' W* ~% h, S options=optimset('Display','off');
' O1 e; W# {) B+ A I2 ]6 | Vbar(s-1,1)=fzero('@Price_ss',initial,options,s,Vbar,r,vol,t0,t,K); %在这一步出错4 L% ]: E4 i( M1 G9 U
initial=Vbar(s-1,1)*qq;9 L T4 K/ A9 H' G% q
[c1,h1,al,b1,N1,w2,wl]=Price_s(V,s,Vbar,r,vol,t0,t,K);* i5 j) Y( d8 V8 z/ r
C(s,1)=c1;3 {1 b$ T k% I# z9 [$ q o) }
h(s, =hl;
) n8 A5 N/ r2 @. \. h# fa(s, =al;
, ^3 Y: i: x1 Y: Q4 V& g, Zb(s, =b1;
; R" ]: I0 r4 n- W, H) }1 vN(s,:)=N1;( M) r& h0 U/ A) V! O6 N
end
; W0 X) Y R7 L3 D# [k=1;
( x% S! X# n( M[c2,h2,a2,b2,N2,w4,w3]=Price_s(V,k,Vbar,r,vol,t00,t,K);$ b; i+ {$ |. v; U- A
C(k,1)=c2;
! P1 g5 G. `3 h6 L" y1 l# t2 S" _h(k,:)=h2;" s0 y7 X8 c4 a6 L
a(k,:)=a2;2 b: V! n' O6 O7 |
b(k,:)=b2;
0 y: }3 `7 F( d( R, j9 P5 rN(k,:)=N2;
& G0 M. w9 R' QP=C(k,1);) i+ O( t/ ]8 P! i& A% ^4 \
& K4 b" \. i$ m4 ~. I% Y3 B9 O# e8 S' Z7 g' ^% q2 d) Z+ K5 Q, X
报错
% v" z6 P" r, p3 \% p9 k3 R未定义与 'function_handle' 类型的输入参数相对应的运算符 '=='。# v/ J5 a4 h. k5 c* i3 U
出错 fzero (line 314)2 c8 z" k+ f, e
if fx == 0
0 r# v* C4 `) N& b* D0 T$ h出错 Price (line 24)
- ^$ V% ]& V1 C. P- z Vbar(s-1,1)=fzero('@Price_ss',initial,options,s,Vbar,r,vol,t0,t,K);; @ v) ]3 f" N) j" f. A8 H+ T0 |
( Y( C" H$ [2 \& n) S4 Q1 _( v5 L请大神指教 B, _1 G3 ?2 `. A# L4 V" A# j
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