matlab程序优化 (期权计算为例)

of
                %return over the life of the option, expressed as a positive decimal number.
pchange=0.05;   %('敏感性分析中的价格变化幅度');
vchange=0.05;   %('敏感性分析中的隐含波动率变化幅度');
%分析区间
stk_temp=stk_price-5*pchange:pchange:stk_price+5*pchange;
stk_temp_num=size(stk_temp,2);

vol_temp=vol-1*vchange:vchange:vol+10*vchange;
vol_temp_num=size(vol_temp,2);

%结果是一个stk_temp_num X vol_temp_num的表；
result=zeros(stk_temp_num,vol_temp_num);

for i=1:stk_temp_num    %stk_temp=stk_price-5*pchange:pchange:stk_price+5*pchange
    %result_temp=[stk_temp];
    for j=1:vol_temp_num %vol_temp=vol-1*vchange:vchange:vol+10*vchange
        %temp=[];
        [i,j]
        bls=blsprice(stk_temp(i), strick_price, rate, m_time, vol_temp(j) );
        result(i,j)=fzero(@(w) obj(w,stk_temp(i), M, N, strick_price, rate, m_time, vol_temp(j)),bls);
   end
end
result

///obj
function f=obj(w,stk_temp, M, N, strick_price, rate, m_time, vol_temp)
f=blsprice(stk_temp+(M/N)*w, strick_price, rate, m_time, vol_temp)*N/(M+N)-w;