Why my Matlab-code doesn't work?

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Natalia Timofeeva
Natalia Timofeeva on 27 May 2017
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
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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