numerically solving an equation involving a matlab function with multiple variables

I am interested in using a numerical equation solver to solve equations of the kind

known_1=my_function(unknown,known_2,known_3,...)

If there is a solution where unknown is between two bounds.

Thankfully I know that in the cases I am interested in there will either be 0 or 1 solutin within the bounds.

An example of an equation of this type that i am interested in is:

4==blsprice(5,2,0.05,unknown_time,0.2) 

Where unkown_time is the variable i want to solve for

[Alan Stevens]

Look up help on function fzero.

[Stephan]

fzero will not work, because it will try to use negative values, which leads to an error.

BTW: The time that results is about 13.693 years (for a call option):

>> blsprice(5,2,0.05,13.693,0.2)

ans =

    4.0000

Are you sure you have the correct input values? The option already has an inner value of 3. To get one additional time value of 1 you would need this huge time. The option price for a half year for your example would be:

>> blsprice(5,2,0.05,0.5,0.2)

ans =

    3.0494

Are you sure that you use correct inputs?

Answer 1

[Stephan]

fun = @(x) blsprice(5,2,0.05,x,0.2) - 4;
unknown_time = fsolve(fun,0.5)