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hest
2012 Apr 26
2
ErrError in f(x, ...) : object 'g.' not found
...could help i would be very thankful.
Here is my code.
kappa = 1.1
theta = 0.1
sigma = 0.4
rho = -0.6
v0 = 0.2
r = 0.05
T = 0.5
s0 = 1
K = 0.5
type = 1
Hestoncall = function(kappa,theta,sigma,rho,v0,r,T,s0,K,type)
{
u = 0.5
b = kappa-rho*sigma
a = kappa*theta
x = log(s0)
Hestf = function(phi)
{
d = sqrt((b-rho*sigma*phi*complex(1,0,1)-b )^2-sigma^2*(2*u*phi^2))
g =
(b-rho*sigma*phi*complex(1,0,1)+d)/(b-rho*sigma*phi*complex(1,0,1)-d)
C = r*phi*complex(1,0,1)*T +
a/sigma^2*((b-rho*sigma*phi*complex(1,0,1)+d)*T-2*log((1-g.*exp(d*T))/(1-g)))
D =...