Several vectors as inputs to function

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Simon
Simon 2014-4-17
评论： lvn 2014-4-17
Hi! I am trying to calculate values of Black-Scholes options using a function that requires inputs:
Values=BSCall(S,K,T,v,r)
Where v and r are both 1x11 arrays of risk-free rates and volatilities that correspont to each other. This means that I want in total 11 option values to be calculated. How can I do this without using loops?
Regards
Simon

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回答（1 个）

lvn
lvn 2014-4-17
It all depends whether your function BSCall supports vector input. If it does, then just
Values=BSCall(S,K,T,v,r)
with v and r vectors should work. On the other if BSCall expects scalar v and r, then your only option will be to use a for loop (or of course to change BSCall to support vector input).
  2 个评论
Simon
Simon 2014-4-17
Thanks!
I gueess I'll try to make it support vector input then. I am new to Matlab, so there are lots of things that are confusing to me. It seems to be the case that the code can handle one vector, such as a vector with different stock prices, but as soon as I use several vectors as input something goes wrong. Here is my code:
function [Call]=BScall(S0,T,K,sigma,r)
d1=(log(S0./K)+(r+0.5.*sigma.^2).*T)/(sigma.*sqrt(T));
d2=d1-sigma.*sqrt(T);
if T>0
Call=S0.*N(d1)-K.*exp(-r*T).*N(d2);
else
Call=max(S0-K,0);
end
end
The code is obviously short and easy, but I cannot seem to make it work with vectors. I'd be grateful for any help! Regards Simon
lvn
lvn 2014-4-17
What is the error message? In any case, I think there should be a dot before the second / in your formula.

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