[R] How to solve this nonlinear regression problem?

From: tedzzx <zengzhenxing_at_gmail.com>
Date: Mon, 17 Nov 2008 07:16:31 -0800 (PST)

Hi,all

I am doing a nonlinear regression and I am going to use nls. To Minimize:sum{(Y-BS(s,x,r,t,v)) ^2}

a<-nls(Y~BS(s,x,r,t,v))  

BS is the black-scholes model.
BS<-function(s,x,r,t,v){

d1=(ln(s/x)+v^2*t/2)/(v*t^(0.5))
d2=(ln(s/x)-v^2*t/2)/(v*t^(0.5))
c=e^(rt)*(s*N(d1)-x*N(d2))

}  

where s,x,r,t are known numbers
But v is dertermined by a linear regression: ln(v)=a0+a1*n+a2*n^2  

a0,a1 and a2 are the ones to be estimated.  

How can write the code for these nonlinear regression?  

thanks

Ted

-- 
View this message in context: http://www.nabble.com/How-to-solve-this-nonlinear-regression-problem--tp20541306p20541306.html
Sent from the R help mailing list archive at Nabble.com.

______________________________________________
R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Received on Mon 17 Nov 2008 - 15:25:24 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 17 Nov 2008 - 16:30:26 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive