k_g = [0.66, 0.65, 0.64, 0.63, 0.62, 0.61, 0.60, 0.59, 0.55];
c_g = [0.085855 0.032191 0.020795 0.017001 0.013711 0.010851 0.008388 0.006291 0.001401];
k_b = [1.30, 1.25, 1.20, 1.15, 1.10, 1.05, 1.00, 0.95, 0.90];
c_b = [0.137213 0.082645 0.045060 0.028338 0.016146 0.007860 0.003277 0.001134 0.000245];
results_G = zeros(length(k_g), length(c_g));
results_B = zeros(length(k_b), length(c_b));
unhedged_G = zeros(length(k_g), length(c_g));
unhedged_B = zeros(length(k_b), length(c_b));
Eg = 643000000;
Eb = 272000000;
corr = 0.675;
n = 100000;
Rg = normrnd(0,9,[n,1]);
Rb = normrnd(0,11,[n,1]);
for j = 1:length(c_g)
for i = 1:length(k_g)
G = 0.6531*(1+Rg(i)/100);
netpayoff_g = (k_g(i)-G)-c_g(j);
results_G(i,j)= netpayoff_g;
unhedged_G(i,j)=Eg.*G;
end
j=j+1;
end
for b = 1:length(c_b)
for a = 1:length(k_b)
B = 1.234*(1+Rb(a)/100);
netpayoff_b = (k_b(a)-B)-c_b(b);
results_B(a,b)= netpayoff_b;
unhedged_B(a,b)= Eb.*B;
end
b=b+1;
end
hedged_G = unhedged_G + (9.*results_G)
hedged_B = unhedged_B + (9.*results_B)
hedged = hedged_G + hedged_B
results_G
results_B
best_G = max(results_G(:))
best_B = max(results_B(:))
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