I hope you can help me here.
Im calibrating a model where your kummer function is involve. During the calibration sometimes the procedure gets stuck while evaluating kummer function. At first i thought i could get around this by lowering the tolerance level but even setting it to 1e-1 does not solve it. Do you have any idea how this happens? Maybe there are some inputs to the function that it cannot evaluate?
Thank you advance!
I have tried to use your codes to improve the speed of my functions.
Though if I use the example from your codes:
Q = adaptiveSimpson(@(x) [-cos(50*x); sin(x)], 0, pi, 'tol', 1e-6)
I get the following error:
Undefined function 'adaptiveSimpson' for input arguments of type 'function_handle'.
In Heston model, If the parameters obey 2*kappa*theta> sig (known as the Feller condition) then the process volatility is strictly positive. When I run your codes even using your marketdata, calibrated parameters violate the feller condition. Could you please explain why it is so and probably fix it if possible.
Thanks in advance
Hey every one I am trying to run this code as it is but I get the message " Undefined function 'lsqnonlin' for input arguments of type'function_handle'.
Error in hestoncalibrationexample (line 36)
x = lsqnonlin(@costf2,x0,lb,ub);
Any body can help me with this problem?
thanks in advance