3월 10일 과제입니다.

 

4월물 변동성 0.082

5월물 변동성 0.0941

6월물 변동성 0.1004

7월물 변동성 0.092

8월물 변동성 0.0836

9월물 변동성 0.0863

 

 

clear
a=0; b=900; K=280;
Nx=301;
x=linspace(a,b,Nx+2);

for i=2:Nx+1
u(i,1)=max(x(i)-K,0);
end

% plot(x(2:Nx+1),u(2:Nx+1,1),'bo-')

sigma=0.0863; r=0.0149;
h=x(2)-x(1);
dt=0.1/365.0;

 for n=1:1890
     u(1,n)=2*u(2,n)-u(3,n);
     u(Nx+2,n)=2*u(Nx+1,n)-u(Nx,n);
    
for i=2:Nx+1
    u(i,n+1)=u(i,n)+dt*(((1/2)*(sigma^2)*(x(i)^2)*(u(i+1,n)-2*u(i,n)+u(i-1,n))/h^2)+r*x(i)*(u(i+1,n)-u(i-1,n))/(2*h)-r*u(i,n));
end

end

% plot(x(2:Nx+1),u(2:Nx+1,end),'bo-')
interp1(x,u(:,end),272.29)