function [mu sigma ] = GBM_calibration(S,dt , params )
Ret= price2ret(S);
n= length (Ret );
options = optimset (’ MaxFunEvals’, 100000 , ’ MaxIter ’, 100000);
fminsearch( @normalLL , params , options );
function mll = normalLL ( params )
mu= params (1); sigma = abs( params (2));
ll=n* log (1/ sqrt (2*pi* dt )/ sigma )+ sum(-(Ret -mu*dt ).^2/2/( dt* sigma ^2));
mll=-ll;
end
end
程序如上,数据为excel表,怎样实现求解,即具体操作,最终求得mu和sigma