Parameter optimization - lsqnonlin with normcdf
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Hi all,
I'm trying to optimize parameters with lsqnonlin to fit data. Actual data is market prices of options and I try to fit parameters to get those prices. However, since the formula is
and d1 is expressed as 
and v is a function of several parameters that I'd like to optimize. Initial parameters works well but when I run lsqnonlin v goes to negative at some point and I get an error of inputs must be real for erf function in normcdf. I made that non-negative using if statement in function v but then optimization doesn't work well. I appreciate any lead to avoid this.
Best,
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Raunak Gupta
2020-5-30
1 个投票
Hi,
I see that the optimization variable in the question is v. Since in lsqnonlin you are mentioning v as your parameter I suggest to put a lower bound lb equal to 0 so that optimization will not return value less than zero.This can be done as mentioned in this example.
Upper bound can be mentioned as ‘inf’ because v can be any positive real number. You may remove if statement for checking the value of v because the functionality of putting bounds on optimization variable is available in lsqnonlin.
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