Description Usage Arguments Value Warning Examples

Function to estimate the volatility, *σ*, and drift, *μ*. See
`vignette("Distance-to-default", package = "DtD")`

for details. All
vectors with length greater than one needs to have the same length. The
Nelder-Mead method from `optim`

is used when
`method = "mle"`

. Either `time`

or `dt`

should be passed.

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`S` |
numeric vector with observed stock prices. |

`D` |
numeric vector or scalar with debt due in |

`T.` |
numeric vector or scalar with time to maturity. |

`r` |
numeric vector or scalar with risk free rates. |

`time` |
numeric vector with the observation times. |

`dt` |
numeric scalar with time increments between observations. |

`vol_start` |
numeric scalar with starting value for |

`method` |
string to specify which estimation method to use. |

`tol` |
numeric scalar with tolerance to |

`eps` |
numeric scalar with convergence threshold. |

A list with the following components

`ests` |
estimates of |

`n_iter` |
number of iterations when |

`success` |
logical for whether the estimation method converged. |

Choosing `tol >= eps`

or roughly equal may make the method alternate
between two solutions for some data sets.

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