hestoncallkj: FUNCTION_TITLE

Description Usage Arguments Value See Also Examples

View source: R/KJ_heston.R

Description

FUNCTION_DESCRIPTION

Usage

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hestoncallkj(S, X, r, v, theta, rho, k, sigma, t = 0, dt = NULL, tau = 1,
  N)

Arguments

S

Spot price

X

Strike price

r

Asset's rate of return

v

Instantaneous variance

theta

Long variance

rho

Processes' correlation

k

Rate at which v returns to theta

sigma

Vol of vol

t

Starting time, Default: 0

dt

Stepsize, Default: NULL

tau

Ending time, Default: 1

N

Number of simulations

Value

List with call price, values used to compute the call and all simulated paths.

See Also

rnorm

Examples

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## Not run: 
if(interactive()){
 #EXAMPLE1
 }

## End(Not run)

fernote7/rnmethods documentation built on Sept. 25, 2017, 12:02 p.m.