I am new to MATLAB and was wondering if someone could help me with a simple function. The idea is as follows:
I have two equations:
r_u = r0 + theta*delta + sigma*sqrt(delta)
r_d = r0 + theta*delta – sigma*sqrt(delta)
I need to find theta such that the above equations are satisfied as well as the equation below:
P = exp(-r0*delta)[0.5*exp(-r_u*delta) + 0.5*exp(-r_d*delta)]*100.
r0, delta, sigma and P are known. I need the function to calculate theta, r_u and r_d such that the above equations are true. I can do it in Excel using Solver but MATLAB is new to me and I would really appreciate any help I can get.
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