Needing help using MESHGRID (R2014b)
1 view (last 30 days)
Show older comments
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 Comments
Star Strider
on 22 Mar 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’?
Accepted Answer
Star Strider
on 22 Mar 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.
More Answers (0)
See Also
Categories
Find more on Surface and Mesh Plots in Help Center and File Exchange
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!