expNormJumpTransform: non-vectorized jumpTransform of the DPS exponential-normal...
In piotrek-orlowski/affineModelR: Affine Jump Diffusion Models for R
View source: R/jumpTransforms.R
expNormJumpTransform R Documentation
non-vectorized jumpTransform of the DPS exponential-normal mixture
Description
non-vectorized jumpTransform of the DPS exponential-normal mixture
Usage
expNormJumpTransform(uu, jmp)
Arguments
uu
(N.factors+1) length vector where the jump transform should be evaluated
jmp
a structure describing the jump parameters (muY/sigmaY = mean/sd of log stock jump)
Value
scalar value corresponding to the jump transform evaluated at the given frequency
References
Duffie-Pan-Singleton (2000)
piotrek-orlowski/affineModelR documentation built on July 11, 2022, 3:25 p.m.
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.
View source: R/jumpTransforms.R
| expNormJumpTransform | R Documentation |
non-vectorized jumpTransform of the DPS exponential-normal mixture
Description
non-vectorized jumpTransform of the DPS exponential-normal mixture
Usage
expNormJumpTransform(uu, jmp)
Arguments
uu |
(N.factors+1) length vector where the jump transform should be evaluated |
jmp |
a structure describing the jump parameters (muY/sigmaY = mean/sd of log stock jump) |
Value
scalar value corresponding to the jump transform evaluated at the given frequency
References
Duffie-Pan-Singleton (2000)
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.