ModelB6: Compute the maximum likelihood estimate of Model B6

Description Usage Arguments Details Examples

View source: R/ModelB6.R

Description

x1 is the log of the stock price, x2 the instantaneous variance.

Usage

1
ModelB6(x, x0, del, param)

Arguments

x

Observation of the state variable at time t

x0

Observation of the state variable at time t-1

del

The time step between the current and previous observation

param

The parameter 5-vector (m, a, b, s, r):

Details

dx1 <- (m - x2/2) dt + sqrt(x2) dW1 dx2 <- (a - b x2) dt + s sqrt(1-r^2) Sqrt(x2) dW1 + s r sqrt(x2) dW2

Examples

1
ModelB6(0.4,0.3,0.1,c(0.1,0.2,0.3,0.3,-0.2))

mfrdixon/MLEMVD documentation built on May 1, 2018, 11:38 p.m.