Why my Matlab-code doesn't work?

Natalia Timofeeva

2017 5 27

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Hi,

I have a program but for some reason it doesn't work. I got a messagge: undefined function or variable.

Code:

   function [C, Cdelta, P, Pdelta] = ch08(S,E,r,sigma,tau)
    if tau > 0
    d1 = (log(S/E)+(r+0.5*sigma^2)*(tau))/(sigma*sqrt(tau));
    d2=d1-sigma*sqrt(tau);
    N1=0.5*(1+erf(d1/sqrt(2)));
    N2=0.5*(1+erf(d2/sqrt(2)));
    C=S*N1-E*exp(-r*(tau))*N2;
    Cdelta=N1;
    P=C+E*exp(-r*(tau))-S;
    Pdelta=Cdelta-1;
else
    C=max(S-E,0);
    Cdelta=0.5*(sign(S-E)+1);
    P=max(E-S,0);
    Pdelta=Cdelta-1;
end

Any ideas, why it doesn't work?

Thanks in advance!

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Abel Babu 2017-5-30

There is a good chance that the function has not been added in the MATLAB path. Either add the file in path or change the directory to the one that has the ch08.m file.