Unable to perform assignment because value of type 'sym' is not convertible to 'double'.

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JICHAO ZHANG 2023-4-15

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https://ww2.mathworks.cn/matlabcentral/answers/1947593-unable-to-perform-assignment-because-value-of-type-sym-is-not-convertible-to-double

评论： JICHAO ZHANG 2023-4-16

function [U]=timerpathCALLfinite(s0,v0,sigma,kappa,K,B)%varibles
s0=100;
v0=0.001;
K=100;
T=2;
steptime=256;
dt=T/256;
B=0.001;
r=0.01;
sigma=0.25;% not larger then 0.1
kappa=0.1;
rho=0.5;
v=zeros(T*steptime);%volatility price
v(1)=v0;%initial price;
zpath(1)=(2*sqrt(v0))/sigma;
deta=(4*kappa)/(sigma^2); % Bessel process parameter
nu=deta/2-1;  % bessel model index
sum(1)=0;
p(1)=0;
for j=1:steptime*T% search stopping time
    v(j+1)=v0*exp((kappa-0.5*sigma^2)*(j*dt)-sigma*sqrt(j*dt)); %volatility
    sum=sum+dt*((v(j)+v(j+1))/2);% cumulation volitility
    if sum>=B
        tau=j+1;
        br=tau*dt;
        break;
    end
end
if sum>=B % at stopping time exercise
    syms ztau R 
    %%insert expectation
    d=sqrt((1-rho^2)*B);
    vaps=-rho*(2*kappa/(sigma^2)-0.5).*(0.5*(1./ztau+1/zpath(1)).*B)+(r.*br)-(B/2)+rho.*(ztau-zpath(1));
    d1=((log(s0/K)+vaps+(1-rho^2)*B))./d;
    d2=d1-d;
    infi=s0.*exp(vaps-r.*br).*normcdf(d1)-K.*exp(-r.*br).*normcdf(d2);  %inner expectation
    %%intervsion laplace transform to density
    alpha=18.4/(2*B);  % laplace parameter
    sh=sinh(R.*sqrt(alpha./2)); % large value
    pe=besseli(sqrt(alpha),2.*sqrt(2.*alpha.*zpath(1).*ztau)./sh);%bessel function
    LAP=real(pe.*sqrt(2.*alpha).*(ztau.^(nu+1))./(sh.*8*(zpath(1)^(nu))).*exp(-((nu^2)*br*(sigma^2))/8-((zpath(1)+ztau).*sqrt(2*alpha).*coth(R.*sqrt(alpha/2)))));
    %%% DOUBLE integral outer expectation
    U=trapz(0:1,trapz(0:1,infi.*inverlap1(LAP,alpha,R,ztau,br),2));
    function[disthree]=inverlap1(LAP,alpha,R,ztau,br)
        v0=0.001;
        B=0.001;
        sigma=0.25;% not larger then 0.1
        kappa=0.1;
        v(1)=v0;%initial price;
        zpath(1)=(2*sqrt(v0))/sigma;
        deta=(4*kappa)/(sigma^2); % Bessel process parameter
        nu=deta/2-1;  % bessel model index
        H2=LAP/2;
        for t=1:1:15
            alphaP=complex(alpha,(t*pi)/B);
            sh1=sinh(R.*sqrt(alphaP/2));
            pe1=besseli(sqrt(alpha+(t*pi)/B),2.*sqrt(2.*alphaP.*zpath(1).*ztau)./sh1);
            H2=H2+((-1)^t).*real(pe1.*sqrt(2.*alphaP).*(ztau.^(nu+1))./(sh1.*8.*(zpath(1)^(nu))).*exp(-((nu^2).*br.*(sigma^2))./8-((zpath(1)+ztau).*sqrt(2.*alphaP).*coth(R.*sqrt(alphaP./2)))));
        end
        SU=zeros(12);
        SU(1)=H2;
        for I=1:12
            NT=15+I;
            alpha2=complex(alpha,(NT*pi)/B);
            sh2=sinh(R.*sqrt(alpha2/2));
            pe2=besseli(sqrt(alpha+(NT*pi)/B),2.*sqrt(2.*alpha2.*zpath(1).*ztau)./sh2);
            SU(I+1)=SU(I)+((-1)^NT).*real(pe2.*sqrt(2.*alpha2).*(ztau.^(nu+1))./(sh2.*8.*(zpath(1).^(nu))).*exp(-((nu^2).*br.*(sigma^2))./8-((zpath(1)+ztau).*sqrt(2.*alpha2).*coth(R.*sqrt(alpha2./2)))));
        end
        AVGSU=0;
        C=[1,11,55,165,330,462,462,330,165,55,11,1];
        for J=1:12
            AVGSU=AVGSU+C(J)*SU(J);
        end
        U=exp(18.4/2)/B;
        disthree=(U.*AVGSU)./2048;
    end