laplaceCIR: Laplace transform for CIR process

In michaelgordy/basicAffineProcess: Basic Affine Processes

Description

Laplace transform of Y[t] and time-derivative of transform.

Usage

laplaceCIR(tt, mu, kappa, sigma, w = -1)

Arguments

tt	Vector of times.
mu	Drift of process.
kappa	Mean reversion of process.
sigma	Volatility of process.
w=-1	Auxiliary parameter in transform.

Value

List with (tt, A0, B0, A1, B1), all vectors of equal length.

michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.