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rbmatlab
1.16.09
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rbmatlab
1.16.09
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model = european_option_pricing_model(params) More...
Go to the source code of this file.
Functions | |
| function model = | european_option_pricing_model (params) |
| model = european_option_pricing_model(params) More... | |
| 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.
1.8.8