hermitePolynomial: Generate a Hermite Polynomial of order n

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Generate a Hermite Polynomial of order n

Usage

  hermitePolynomial(n)

Arguments

n	A numeric defining the order of the Hermite Polynomial

Value

p A vector containing the Hermite Polynomial of order n

H_{j} (x) \equiv (-1)^{J} e^{ \frac{ -x^{2} }{2} } \frac{ d^{J} e^{ \frac{ -x^{2} }{2} }}{ dx^{J} }

Author(s)

Ram Ahluwalia [e-mail]

References

A. Meucci - "Fully Flexible Extreme Views" - See formula (20) http://ssrn.com/abstract=1542083

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.