Solving a system of non-linear equations for a dataset
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Daria Fomenko
Nov 8, 2014, 12:08:03 PM11/8/14
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I have to find a solution (av, asigma) for the following system if equation:
0 = av*normal( ln(av/debt)+(r+asigma^2/2)*t)/(asigma*sqrt(t) ) -debt*exp((-r*t)*normal(ln(av/debt)+(r+asigma^2/2)*t)/(asigma*sqrt(t))-asigma*sqrt(t))-ev
0 = av*normal( ln(av/debt)+(r+asigma^2/2)*t)/(asigma*sqrt(t))*asigma/ev-esigma
and this all for over 100 000 observations.
Can anyone help me?
0 = av*normal( ln(av/debt)+(r+asigma^2/2)*t)/(asigma*sqrt(t) ) -debt*exp((-r*t)*normal(ln(av/debt)+(r+asigma^2/2)*t)/(asigma*sqrt(t))-asigma*sqrt(t))-ev
0 = av*normal( ln(av/debt)+(r+asigma^2/2)*t)/(asigma*sqrt(t))*asigma/ev-esigma
and this all for over 100 000 observations.
Can anyone help me?
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