Mathematica Plot3D does not produce a plot when graphing a user-defined function?

Posted by pythonscript on Stack Overflow See other posts from Stack Overflow or by pythonscript
Published on 2012-03-18T18:00:01Z Indexed on 2012/03/18 18:02 UTC
Read the original article Hit count: 316

Filed under:
|

I'm writing a simple Mathematica implementation of the black-scholes model and using Plot3D to plot the pricing surface. However, when I run this code, no plot is produced. My call and put functions to produce correct values when run separately, but no plot is produced. Code:

Clear[d1, d2, call, put, stockPrice, strikePrice, riskFreeRate, timeToExp, volatility]

d1[stockPrice_, strikePrice_, riskFreeRate_, timeToExp_, volatility_] := (Log[stockPrice / strikePrice] + (riskFreeRate + 0.5*volatility^2)*timeToExp) / (volatility * Sqrt[timeToExp])

d2[stockPrice_, strikePrice_, riskFreeRate_, timeToExp_, volatility_] := d1[stockPrice, strikePrice, riskFreeRate, timeToExp, volatility] - volatility*Sqrt[timeToExp]

call[stockPrice_, strikePrice_, riskFreeRate_, timeToExp_, 
  volatility_] := stockPrice * CDF[NormalDistribution[0, 1], d1[stockPrice, strikePrice, riskFreeRate, timeToExp, volatility]] - strikePrice * Exp[-riskFreeRate*timeToExp] *CDF[NormalDistribution[0, 1], d2[stockPrice, strikePrice, riskFreeRate, timeToExp, volatility]]

Plot3D[call[stockPrice, 500, 0.0030, timeToExp, 0.39], {stockPrice, 
  10, 1000}, {timetoExp, 0.0833333, 5}]

Other plots, like this sample from the reference, do work.

Plot3D[{x^2 + y^2, -x^2 - y^2}, {x, -2, 2}, {y, -2, 2}, 
 RegionFunction -> Function[{x, y, z}, x^2 + y^2 <= 4], 
 BoxRatios -> Automatic]

© Stack Overflow or respective owner

Related posts about mathematica

Related posts about finance