Piecewise function for black-scholes

Question

N/A 2017-8-30

关闭： MATLAB Answer Bot 2021-8-20

hello, I am trying to get a piecewise function, f(x) = blsprice for Put if exercise price < S_0; blsprice for Call if exercise price >= S_0.

I have all the inputs in my code as well, didn't include it here.

my code:

syms y

y = piecewise(E < S_0, [Put] = blsprice(S_0,E,r,T,sigma), E >= S_0, [Call] = blsprice(S_0,E,r,T,sigma))

I am getting an error: the expression to the left of the equal sign is a valid target for an assignment.

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Answer 1

Neil Guertin 2017-9-7

piecewise expects a value in the second and fourth arguments, and what you have entered is not valid syntax there.

What you need to do is calculate the values first, then pass the results to the piecewise function.

 [Put, Call] = blsprice(S_0,E,r,T,sigma);
 y = piecewise(E < S_0, Put, E >= S_0, Call)