hestoncallkj: FUNCTION_TITLE

In fernote7/rnmethods: Numerical Methods for stochastic processes

Description

FUNCTION_DESCRIPTION

Usage

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

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

## End(Not run)

fernote7/rnmethods documentation built on May 16, 2019, 12:50 p.m.