Recent content by FrancescoMi

Hi, I have to solve one equation on Matlab. The equation is: (p-c)*psi'-psi=0 I have to find p. Where psi is: and psi' is the derivative of psi. I've written this code: rho = 0.04; %In the image is lambda c = 25; eta = 0.02; mu = 40; sigma = 0.57; alpha = -rho/eta; syms p t F =...

Thanks a lot, very clear explenation! And thank you for the remark of eta, that was a multiplication :)

Hi, I have a problem with my MATLAB code. The error is: "Function 'diff' is not supported for class 'function_handle'." I have installed the toolbox Symbolic Math Toolbox after the installation of Matlab, but I think that it works, so my code is this: t=2; alpha=2; p_0=20; c=10; eta=0.2...

Because is my first work alone and I'm not sure of the cicle. Do you think it's ok?

Hi all, I have this dynamic: is a Mean Reverting process. I want to simulate the sde with MATLAB but I am a beginner and I have some problems. I show you the code that I have created: %% Simulazione prezzo Geometric Ornstein-Ulenbeck clear all clc %Parameters mu = 0.5; sigma = 0.12; eta =...