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function monopt2
%Chargement des données
load data
prix = data;
load data2
strike_vec = data2;
load data3
sp = data3;
sig0 = 0.00015164;
r = 0.0006;
nbr_sim = 20;
nbr_strike = 36;
epsil = randn (nbr_sim,257);
x0=[0.3;0.3;0.3;0.3];
function [f call par,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil] = erreursfun (par,prix,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil)
function [f e par,prix,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil] = erreursfun (par,prix,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil)
options=optimset('algorithm','interior-point','display','iter');
[par,fval]=fmincon(@(x)erreursfun(x,prix,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil),x0,[],[],[],[],[],[],@confun,options)
function [f call par,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil] = erreursfun (par)
function [f e par,prix,strike_vec,sp,sig0,r,nbr_sim,nbr_strike,epsil] = erreursfun (par) |
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