Why my Matlab-code doesn't work?
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Hi,
I have a program but for some reason it doesn't work. I got a messagge: undefined function or variable.
Code:
function [C, Cdelta, P, Pdelta] = ch08(S,E,r,sigma,tau)
if tau > 0
d1 = (log(S/E)+(r+0.5*sigma^2)*(tau))/(sigma*sqrt(tau));
d2=d1-sigma*sqrt(tau);
N1=0.5*(1+erf(d1/sqrt(2)));
N2=0.5*(1+erf(d2/sqrt(2)));
C=S*N1-E*exp(-r*(tau))*N2;
Cdelta=N1;
P=C+E*exp(-r*(tau))-S;
Pdelta=Cdelta-1;
else
C=max(S-E,0);
Cdelta=0.5*(sign(S-E)+1);
P=max(E-S,0);
Pdelta=Cdelta-1;
end
Any ideas, why it doesn't work?
Thanks in advance!
3 Comments
Abel Babu
on 30 May 2017
There is a good chance that the function has not been added in the MATLAB path. Either add the file in path or change the directory to the one that has the ch08.m file.
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