quadraticVariation: Computation of the quadratic variation of random walk. If...
In AnthonyTedde/RandomProcesses: Random Processes
Description
Usage
Arguments
References
View source: R/QuadraticVariation.R
Description
Computation of the quadratic variation of random walk.
If random walk is symmetric and thus probability of obtain head equal the probabilty
of getting tail, the quadatric variation of this symmetric random walk
equal the variance of the random walk.
Usage
1
quadraticVariation(W, to)
Arguments
steps
- Number of steps of the random walk
References
[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 85
AnthonyTedde/RandomProcesses documentation built on Dec. 14, 2021, 10:39 a.m.
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Description Usage Arguments References
View source: R/QuadraticVariation.R
Description
Computation of the quadratic variation of random walk. If random walk is symmetric and thus probability of obtain head equal the probabilty of getting tail, the quadatric variation of this symmetric random walk equal the variance of the random walk.
Usage
1 | quadraticVariation(W, to)
|
Arguments
steps |
- Number of steps of the random walk |
References
[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 85
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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