F_k: F_k Coefficients
In RMOPI: Risk Management and Optimization for Portfolio Investment
F_k R Documentation
F_k Coefficients
Description
Calculate the F_k coefficients for the COS method, an option pricing method based on the Fourier-cosine series.
Usage
F_k(Chf, N, a, b)
Arguments
Chf
the characteristic function
N
the number of cos term for summation
a
the lower limit of the truncation interval
b
the upper limit of the truncation interval
Value
A vector of F_k coefficients
References
Fang F. and Oosterlee C.W. 2008. "A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions", Siam Journal on Scientific Computing. 31(2): 826-848. doi: 10.1137/080718061.
Examples
N <- 32
a <- -6.0
b <- 6.0
F_k(StNormChf, N, a, b)
RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.
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| F_k | R Documentation |
F_k Coefficients
Description
Calculate the F_k coefficients for the COS method, an option pricing method based on the Fourier-cosine series.
Usage
F_k(Chf, N, a, b)
Arguments
Chf |
the characteristic function |
N |
the number of cos term for summation |
a |
the lower limit of the truncation interval |
b |
the upper limit of the truncation interval |
Value
A vector of F_k coefficients
References
Fang F. and Oosterlee C.W. 2008. "A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions", Siam Journal on Scientific Computing. 31(2): 826-848. doi: 10.1137/080718061.
Examples
N <- 32 a <- -6.0 b <- 6.0 F_k(StNormChf, N, a, b)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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