HestonCOS: Approximate the price of a derivative using the Heston model...

In mfrdixon/MLEMVD: Maximum Likelihood Estimation for Diffusion Equations

Description

Simple function using Rcpp

Usage

  HestonCOS(S, K, T, r, q, sigma, lmbda, meanV, v0, rho, otype, N)

Arguments

S	Underlying price
K	Strike price of the option
T	The time to maturity of the option
r	The risk-free rate
q	The annualized divident yield
sigma	The volatility of the underlying
lmbda	The mean reversion rate of the volatility
meanV	Equilibrium volatility level
v0	The volatility of the volalility
rho	The correlation between the Brownian motions
otype	The option type: (P)ut or (C)all
N	The number of Fourier-Cosine expansion terms

Examples

  ## Not run: 
    HestonCOS(S, K, T, r, q, sigma, lmbda, meanV, v0, rho, otype, N)
  
## End(Not run)

mfrdixon/MLEMVD documentation built on May 22, 2019, 8:52 p.m.