Anyone tried function handle of blsprice?
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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!
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Fangjun Jiang
el 3 de Nov. de 2011
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)
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Walter Roberson
el 3 de Nov. de 2011
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
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Walter Roberson
el 3 de Nov. de 2011
I should not have used "function" as a variable name -- opps!
quad(@(x) selectoutput(funct,x,2),lb,ub)
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Nikolay
el 26 de Abr. de 2012
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)
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