hestonea: FUNCTION_TITLE

In fernote7/rnmethods: Numerical Methods for stochastic processes

Description

FUNCTION_DESCRIPTION

Usage

hestonea(S, X, r, v, theta, rho, k, sigma, t = 0, tau = 1)

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
tau	Ending time, Default: 1

Value

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

See Also

rchisq,rnorm

Examples

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