View source: R/ecd-erfq-method.R
ecd.erfq | R Documentation |
The scaled error function in quartic pricing model that encaptulates
both scaled erfi
and erfc
functions
into a single representation. This is used to provide an elegant expression for
the MGF and local option prices, L_{c,p}.
When sgn=-1
, it is √{π}e^{-x^2} erfi(x), which twice of Dawson function.
When sgn=1
, it is √{π}e^{x^2} erfc(x).
ecd.erfq_sum
is the summation implementation with truncation rule set forth
in the quartic pricing model. It achieves high precision when x > 4.5.
ecd.erfq(x, sgn) ecd.erfq_sum(x, sgn)
x |
numeric |
sgn |
an integer of 1 or -1 |
The mpfr
object
x <- ecd.erfq(c(5,10,15), 1) y <- ecd.erfq(c(5,10,15), -1)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.