Hi
I have a matrix where the rows represent "strikes" (money value) and columns represent "time-to-maturity" (time). This gives me a NxM matrix. However, some elements (pairs of money and time) in this matrix are represented as NaN since the values do not exist for these specific pairs.
The problem arises when using fminsearch in order to optimize and obtain parameter values, as fminsearch cannot deal with NaN-values. Replacing the NaN with 0-values does absolutely no good as the new 0-values are regarded as specific values rather than missing points. Deleting all rows where values do not occur across time (i.e. for all columns) leaves me with a much smaller matrix and hence less valid parameter estimation.
Does anyone have a good idea of how to overcome this issue?
Thanks!
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