CevMassZero: Calculate the mass at zero under the CEV model

In FER: Financial Engineering in R

Description

Calculate the mass at zero under the CEV model

Usage

CevMassZero(
  spot,
  texp = 1,
  sigma,
  beta = 0.5,
  intr = 0,
  divr = 0,
  forward = spot * exp(-divr * texp)/df,
  df = exp(-intr * texp)
)

Arguments

spot	(vector of) spot price
texp	(vector of) time to expiry
sigma	(vector of) volatility
beta	beta
intr	interest rate
divr	dividend rate
forward	forward price. If given, forward overrides spot
df	discount factor. If given, df overrides intr

Value

mass at zero

Examples

spot <- 100
texp <- 1.2
beta <- 0.5
sigma <- 2
FER::CevMassZero(spot, texp, sigma, beta)

FER documentation built on March 5, 2021, 5:06 p.m.