HullWhiteRealizedVariance: Hull-White Realized Variance
In loftina/FinMod: Financial Models for Variance and Volatility
Description
Usage
Arguments
Value
Description
The Hull-White model's approximation for realized variance.
Usage
1
HullWhiteRealizedVariance(realizedVar_0, time, kappa)
Arguments
realizedVar_0
Initial realized variance of a stock repeated T times
time
Number of realized variance observations
kappa
The drift coefficient of the model.
Value
Realized variance according to the Hull-White model when the correct kappa value is used
loftina/FinMod documentation built on May 26, 2019, 10:35 a.m.
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Description Usage Arguments Value
Description
The Hull-White model's approximation for realized variance.
Usage
1 | HullWhiteRealizedVariance(realizedVar_0, time, kappa)
|
Arguments
realizedVar_0 |
Initial realized variance of a stock repeated T times |
time |
Number of realized variance observations |
kappa |
The drift coefficient of the model. |
Value
Realized variance according to the Hull-White model when the correct kappa value is used
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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