Needing help using MESHGRID (R2014b)

Question

Joe Bannen 2015-3-22

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/184478-needing-help-using-meshgrid-r2014b

评论： Star Strider 2015-3-22

采纳的回答： Star Strider

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Hi

I am trying to plot a Black-Scholes surface:

I have the following simple code --

    function C=bsf(S,t,E,r,sigma,T)
  % Here our function is C=bsf(S,t,E,r,sigma,T)
  % We will construct the Black-Scholes formula for
  % a European call option
tau=T-t;
if tau>0
    d1=(log(S/E)+(r+0.5*sigma^2)*tau)/(sigma*sqrt(tau));
    d2=d1-sigma*sqrt(tau);
    % From standard Black-Scholes materials
    N1=0.5*(1+erf(d1/sqrt(2)));
    N2=0.5*(1+erf(d2/sqrt(2)));
    C=S*N1-E*exp(-r*tau)*N2;
else
    C=max(S-E,0);
end

I input fixed values of E,r,sigma and T. Hence I need to input a range of values for S and t. I have attempted to construct a mesh via meshgrid:

[S,t]=meshgrid(linspace(0,3),linspace(0,1));

I then try to call the bsf code:

mesh(S,t,bsf)

This results in an error in Line 6 of the code (the construction of tau).

How do I get this to work or any pointers on where I am going wrong!

Many thanks

Joe

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Star Strider 2015-3-22

‘This results in an error in Line 6 of the code (the construction of tau).’

Would you be so kind as to tell us what the error is? (Copy and paste all the red output in the Command Window and paste it to a comment here.)

What are the sizes of ‘T’ and ‘t’?

Joe Bannen 2015-3-22

在 MATLAB Online 中打开

Here is my attempt to get this to work:

>> T=1;E=1;r=0.05;sigma=0.05;
>> [S,t]=meshgrid(linspace(0,3),linspace(0,1));
>> mesh(S,t,bsf)
Error using bsf (line 6)
Not enough input arguments.
>>

Thanks

Joe

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Answer 1

Star Strider 2015-3-22

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/184478-needing-help-using-meshgrid-r2014b#answer_172284

在 MATLAB Online 中打开

You need to call your ‘bsf’ function as:

C=bsf(S,t,E,r,sigma,T);

then plot it as:

mesh(S,t,C)

Since ‘bsf’ is a function file, you have to pass to it all the arguments in its argument list. It will not pick up any variables from the workspace, as an anonymous function would.