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Problem on solving nonlinear system

  • To: mathgroup at smc.vnet.net
  • Subject: [mg96047] Problem on solving nonlinear system
  • From: "tarpanelli at libero.it" <tarpanelli at libero.it>
  • Date: Tue, 3 Feb 2009 06:31:47 -0500 (EST)
  • Reply-to: "tarpanelli at libero.it" <tarpanelli at libero.it>

Hello,
I am trying to solve the following nonlinear system but I am not getting a 
good solution (I am using the function Solve)

f1[a_,S_,q_,r_,t_,n_]:=Sum[a_i * S_i * Exp[(r-q_i)*t],{i,1,n}]
f2[a_,S_,q_,r_,s_,rho_,t_,n_]:=Sum[a_i*a_j*S_i*S_j*Exp[(2r-q_i-
q_j+rho_ij*s_i*S_j)*t],{i,1,n},{j,1,n}]

g1[a_,S_,d_,sigma_,t_]:=Sum[a_i*S_i,{i,1,n}]*Exp[(r-d-(sigma^2/2))*t]
g2[a_,S_,d_,sigma_,t_]:=(Sum[a_i*S_i,{i,1,n}])^2 * Exp[(2r-2d+(sigma^2))*t]

I would like to solve the nonlinear system
f1==g1
f2==g2

for d and sigma

Thanks in advance

P



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