quadgk error when using parameter vectors

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Christopher McCoy 2020-6-2

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/540315-quadgk-error-when-using-parameter-vectors

Hi guys,

I am currently trying to make this code work and it works for single parameters. But as soon as I insert a vector for S and/or v, the function won't work anymore.

I get the following error messages:

#####

Error in

HestonCall>@(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2))

(line 9)

inte =

@(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));

Error in quadgk/evalFun (line 330)

fx = FUN(x);

Error in quadgk/vadapt (line 249)

[fx,too_close] = f(x);

Error in quadgk (line 148)

[q,errbnd] = vadapt(@evalFun,tinterval);

Error in HestonCall (line 19)

R3t =

exp(-r*t).*quadgk(inte,-trunc+2i,trunc+2i)/(2*pi);

Error in Untitled (line 34)

Call_price =

HestonCall(S,K,v,r,t,kp,et,sm,rh,ld,trunc,greek)

#####

I have the feeling that it must have something to do with the quadgk formula, but I'm not sure how to fix it.

Thanks in advance!

Chris

function R3 = HestonCall(S,K,v,r,t,kp,et,sm,rh,ld,trunc,greek)
if nargin < 11, trunc = 100; greek=1; end
I = sqrt(-1);
x = log(S)+r*t;
switch greek
    case 1  % price        
        inte = @(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
    case 2  % delta        
        inte = @(w)(-I*w./S.*exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
    case 3 % gama
        inte = @(w)(-(w.^2)./(S^2).*exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
    case 4 % vega        
        inte = @(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh,1)./(I*w-w.^2));
        
end
R3t = exp(-r*t).*quadgk(inte,-trunc+2i,trunc+2i)/(2*pi);
R3 = real(R3t);
end
function R1 = Ffun(t,w,v,kp,ld,et,sm,rh,Indi)
if nargin<9    
    Indi = 0;
end
I = sqrt(-1);
d = sqrt((rh*sm*I*w+kp+ld).^2+(w.^2-I*w).*(sm^2));
g = (kp+ld+rh*sm*I*w+d)./(kp+ld+rh*sm*I*w-d);
D = ((kp+ld+rh*sm*I*w+d)/(sm^2)).*(1-exp(d*t))./(1-g.*exp(d*t));
C = kp*et*((kp+ld+rh*sm*I*w+d)*t-2*log((1-g.*exp(d*t))./(1-g)))/(sm^2);
if Indi ==0 
    R1 = exp(C + D.*v); 
else
    R1 =D.*exp(C+D.*v);
    
end
end