Anyone tried function handle of blsprice?

12 次查看（过去 30 天）
Zoe Zhang
Zoe Zhang 2011-11-3
For those who are familiar with blsprice,please kindly ignore the next paragraph.
blsprice is in the financial toolbox to price Call/Put Options using Black-Scholes model. The syntax is: [Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield) e.g.[Call, Put] = blsprice(100, 95, 0.1, 0.25, 0.5) returns call and put prices of $13.70 and $6.35, respectively.
I would like to create a function handle (like funh = @(x)blsprice(x,Strike, Rate, Time, Volatility, Yield) which enables me to control whether it is call or put, cos the result x would be depending on that. Does anyone knows how to do it? Thanks so much!
  1 个评论
Fangjun Jiang
Fangjun Jiang 2011-11-3
I don't understand the question. x is your input argument. Why did you say "the result x would be depending on that"?
The function returns two outputs. You can always ignore the one that you don't need. Use ~ in R2009b or later might help. [~, Put] = blsprice(100, 95, 0.1, 0.25, 0.5)

请先登录，再进行评论。

请先登录，再回答此问题。

采纳的回答

Walter Roberson
Walter Roberson 2011-11-3
If you are trying to create a function handle that is able to select the second output of a function, then unfortunately there is no way to do that in MATLAB other than to use an auxiliary real function along the line of
function output = selectoutput(funct,x,number)
[t1,t2] = funct(x);
if number == 2
result = t2;
else
result = t1;
end
end
  3 个评论
显示 1更早的评论
Walter Roberson
Walter Roberson 2011-11-3
I should not have used "function" as a variable name -- opps!
quad(@(x) selectoutput(funct,x,2),lb,ub)

请先登录，再进行评论。

更多回答（1 个）

Nikolay
Nikolay 2012-4-26
Hi fellas
could you help me with this. If I have the value of the call (c) can I use some kind of solver to find what the S0 and SIG are? I need them for the merton model
[c, p] = blsprice(S0, K, R, T, SIG, Q)
  2 个评论
Zoe Zhang
Zoe Zhang 2012-4-26
if u r trying to find sig, you don't really need solver. Check out doc blsimpv; if you need to search for S0, check out fzero, fminsearch etc.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Surrogate Optimization 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by