laplaceBAPmontecarlo.trapezoid: Laplace transform for BAP process by simulation with...
In michaelgordy/basicAffineProcess: Basic Affine Processes
Description
Usage
Arguments
Value
Description
Laplace transform of Y[t]
Usage
1
2
laplaceBAPmontecarlo.trapezoid(X0, horizon, mu, kappa, sigma, lambda = 0,
zeta = 1, w = -1, trials = 10000, ticks = 100)
Arguments
X0
Initial condition.
horizon
Scalar horizon time.
mu
Drift of process.
kappa
Mean reversion of process.
sigma
Volatility of process.
lambda
Jump arrival rate of process.
zeta
Mean of jump size distribution.
w=-1
Auxiliary parameter in transform.
trials=10000
Number of trials in simulation
ticks=100
Number of ticks in horizon
Value
psi vector of equal length to tt.
michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.
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Description Usage Arguments Value
Description
Laplace transform of Y[t]
Usage
1 2 | laplaceBAPmontecarlo.trapezoid(X0, horizon, mu, kappa, sigma, lambda = 0,
zeta = 1, w = -1, trials = 10000, ticks = 100)
|
Arguments
X0 |
Initial condition. |
horizon |
Scalar horizon time. |
mu |
Drift of process. |
kappa |
Mean reversion of process. |
sigma |
Volatility of process. |
lambda |
Jump arrival rate of process. |
zeta |
Mean of jump size distribution. |
w=-1 |
Auxiliary parameter in transform. |
trials=10000 |
Number of trials in simulation |
ticks=100 |
Number of ticks in horizon |
Value
psi vector of equal length to tt.
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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