Thread: Help, MatLab - Binomial results

Hi,

I use a binomial model to price an European put option. The code is pretty simple.

My problem is I want to test the answer for values of M from 1:100. However, the only answer that is kept in the workspace is for the latest value of the option, when M = 100.

How could I create a table in the workspace that would keep trace of every value of the option for the given M [1:100]

Thanks,

Here is the code

Code:

% Binomial method for a European put.
%
% Uses explicit solution based on binomial expansion.
% Vectorized and based on logs to avoid overflow.

%%%%%%%%%% Problem and method parameters %%%%%%%%%%%%%

for M = 1:100
S = 5;E = 10;T = 1;r = 0.06;sigma = 0.3;
dt = T/M;h = 1;
u = exp(sigma*dt^0.5)+h*sigma^2*dt;d = 1/u;p = (exp(r*dt)-d)/(u-d);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% Option values at time T
W = max(E-S*d.^([M:-1:0]').*u.^([0:M]'),0);
% log/cumsum version
csl = cumsum(log([1;[1:M]']));
tmp = csl(M+1) - csl - csl(M+1:-1:1) + log(p)*([0:M]') + log(1-p)*([M:-1:0]');
value = exp(-r*T)*sum(exp(tmp).*W);
 
disp('Option value is'), disp(value)

end

Code:

% Binomial method for a European put.
%
% Uses explicit solution based on binomial expansion.
% Vectorized and based on logs to avoid overflow.

%%%%%%%%%% Problem and method parameters %%%%%%%%%%%%%
 
SavedResults=[];  

for M = 1:100
S = 5;E = 10;T = 1;r = 0.06;sigma = 0.3;
dt = T/M;h = 1;
u = exp(sigma*dt^0.5)+h*sigma^2*dt;d = 1/u;p = (exp(r*dt)-d)/(u-d);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% Option values at time T
W = max(E-S*d.^([M:-1:0]').*u.^([0:M]'),0);
% log/cumsum version
csl = cumsum(log([1;[1:M]']));
tmp = csl(M+1) - csl - csl(M+1:-1:1) + log(p)*([0:M]') + log(1-p)*([M:-1:0]');
value = exp(-r*T)*sum(exp(tmp).*W);
 
disp('Option value is'), disp(value)
 
SavedResults=[SavedResults,value];

end

and the array SavedResults should contain all the results.

CB