Number of elements must be the same?

function Sf = FreeBoundary(S,t,V,K)

Sf = zeros(1,length(t));
eps_star = K*1e-5;

for j = 1:length(t)
    Sf(j) = S(find(abs(V(:,j)-K+S)< eps_star, 1, 'last'));
end
end

I am trying to calculate an american put free boundary before plotting it on my graph. However when I use :

FreeBoundary(1:120,1/3,0.25,60)

I keep getting the error

In an assignment A(:) = B, the number of elements in A and B must be the same.

Error in FreeBoundary (line 7) Sf(j) = S(find(abs(V(:,j)-K+S)< eps_star, 1, 'last'));

Any chance you know how to fix it? Thanks

Answer 1

[Steven Lord]

Are you certain that at each iteration of your for loop at least one element in abs(V(:,j)-K+S) is strictly less than eps_star?

Did you intend to subtract K and add S to V(:, j) or did you mean to subtract the quantity (K+S) from V(:, j)? In the latter case, I would write abs(V(:, j)-(K+S)).

Answer 2

[Jan]

Sf = NaN(1,length(t));
for j = 1:length(t)
  index = find(abs(V(:,j)-K+S)< eps_star, 1, 'last');
  if ~isempty(index)
    Sf(j) = S(index);
  end
end

Now the value of S remains NaN, if no matching values are found.