Hi everyone, i haven't a lot of experience in matlab and i have to do a project about pricing options. The problem is about the Creation of the price forecast Matrix: i have two rate, up and down, that is the market direction. The Matrix is this:
[d^0*u^0, d^0*u^1, d^0*u^2, d^0*u^3;
0 , d^1*u^0, d^1*u^1, d^1*u^2;
0 , 0 , d^2*u^0, d^2*u^1;
0 , 0 , 0 , d^3*u^0]
I would use two for but i don't know hot to index the columns because aren't form 0 to 3 but for every row, they change. The two index are from 0 to 3 but is just for easiness, the index are input because are the option maturity.
Beyond the financial things, my question is how to create that Matrix, i hope i was clear,
Thanks!
-- Andrea