hedged.return: Create condition structure for hedged option return
In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation
Description
Usage
Arguments
Value
Description
Create condition structure for hedged option return
Usage
1
hedged.return(u, tau.j, delta, ttm, N.factors = 3)
Arguments
u
The frequency corresponding to the option portfolio
tau.j
Start of the return period
delta
Length of the return period
ttm
The time-to-maturity of the option at initiation
Value
A usual structure list
piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.
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Description Usage Arguments Value
Description
Create condition structure for hedged option return
Usage
1 | hedged.return(u, tau.j, delta, ttm, N.factors = 3)
|
Arguments
u |
The frequency corresponding to the option portfolio |
tau.j |
Start of the return period |
delta |
Length of the return period |
ttm |
The time-to-maturity of the option at initiation |
Value
A usual structure list
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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