| Author |
Comment/Response |
jf
|
 08/30/12 11:49am
Did you notice the warning message,
SetDelayed::write: "Tag Norm in Norm[x_] is Protected."
Norm is a built-in function. When the N is changed to lower-case, the code works.
====
norm[x_]:=CDF[NormalDistribution[0,1],x];
d1[k_,T_,r_,sigma_,deta_,s_,t_]:={Log[s/k]+(r-deta+0.5*sigma^2)*(T-t)}/sigma/Sqrt[T-t];
d2[k_,T_,r_,sigma_,deta_,s_,t_]:={Log[s/k]+(r-deta-0.5*sigma^2)*(T-t)}/sigma/Sqrt[T-t];
c[k_,T_,r_,sigma_,deta_,s_,t_]:=s*Exp[-deta*(T-t)]*norm[d1[k,T,r,sigma,deta,s,t]]-k*Exp[-r*(T-t)]*norm[d2[k,T,r,sigma,deta,s,t]];
Manipulate[Plot[c[40,1,0.08,0.3,0,s,t],{s,1,70},PlotRange->{{0,70},{0,50}}],{t,1/12,11/12}]
====
URL: , |
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