model = european_option_pricing_model(params) More...
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Functions | |
function model = | european_option_pricing_model (params) |
model = european_option_pricing_model(params) | |
function W = | europeanoptionpricingmodel>eop_mass_matrix (unused1,gridbase grid, unused2) |
model = european_option_pricing_model(params)
Definition in file european_option_pricing_model.m.
function model = european_option_pricing_model | ( | params | ) |
model = european_option_pricing_model(params)
The model of my diploma thesis for the solution of the two-dimensional Black-Scholes-Equation.
See Chapter 2.3 and 4.1 for a precise description of the problem.
Dominik Garmatter 20.08 2012
params | params |
model | model |
S1bar —
S1bar S2bar —
S2bar h1 —
h1 h2 —
h2rb_problem_type —
rb problem type verbose —
flag indicating the verbosity level of informative output affinely_decomposed —
affinely decomposed compute_output_functional —
compute output functional debug —
flag indicating wether debug output shall be turned on mu_names —
a string array containing the symbolic names of the parameter vector \(\mu\) mu_ranges —
matrix storing the admissable ranges for parameter vector components. Each two dimensional column vector represents a range for a component specified by model.mu_names
. r —
r rho —
rho sigma1 —
sigma1 sigma2 —
sigma2 set_mu —
set mu get_mu —
get mu T —
end time for evolution problems nt —
number of time steps for evolution discretizations deltaT —
deltaT data_const_in_time —
data const in time set_time —
set time gridtype —
gridtype N1 —
N1 N2 —
N2 RB_generation_mode —
RB generation mode RB_extension_algorithm —
RB extension algorithm set_rb_in_detailed_data —
function detailed_data=f(detailed_data, newRB)
updating the reduced basis vectors stored in detailed_data
by assigning them to newRB
. get_rb_from_detailed_data —
function RB=f(detailed_data)
returning the reduced basis vectors stored in a detailed_data
structure. get_rb_size —
get rb size get_dofs_from_sim_data —
function u=f(sim_data)
returning degrees of freedom stored in a sim_data
structure. rb_init_values —
rb init values rb_init_data_basis —
rb init data basis RB_numintervals —
RB numintervals RB_error_indicator —
RB error indicator error_algorithm —
error algorithm RB_detailed_train_savepath —
RB detailed train savepath save_detailed_simulations —
save detailed simulations error_norm —
error norm get_estimator_from_sim_data —
get estimator from sim data RB_stop_epsilon —
RB stop epsilon RB_stop_Nmax —
RB stop Nmax RB_stop_timeout —
RB stop timeout dual_RB_stop_epsilon —
dual RB stop epsilon dual_RB_stop_Nmax —
dual RB stop Nmax dual_RB_stop_timeout —
dual RB stop timeout detailedfname —
detailedfname filecache_ignore_fields_in_model —
filecache ignore fields in model filecache_ignore_fields_in_detailed_data —
filecache ignore fields in detailed data gen_model_data —
gen model data mass_matrix —
mass matrix inner_product —
inner product get_inner_product_matrix —
function W=f(model_data)
returning the mass matrix \(W\) for inner product computation \(\langle u,v \rangle = u^t W v\). detailed_simulation —
detailed simulation gen_detailed_data —
gen detailed data orthonormalize —
orthonormalize gen_reduced_data —
gen reduced data rb_operators —
rb operators rb_simulation —
rb simulation rb_reconstruction —
rb reconstruction reduced_data_subset —
reduced data subset init_values_algorithm —
init values algorithm init_value_function —
init value function operators_ptr —
operators ptr operators_output —
operators output name_output_functional —
name output functional functional_subset_S1 —
functional subset S1 functional_subset_S2 —
functional subset S2 plot —
plot plot_sim_data —
problem specific function performing the plot of the simulation results. L_I_inv_norm_bound —
L I inv norm bound L_E_norm_bound —
L E norm bound constant_LB —
constant LB Definition at line 17 of file european_option_pricing_model.m.