shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
General solver for PDEs resulting from the Feynman-Kac formula for Ito processes and diffusions (time-homogeneous processes) User may specify drift and volatility coefficient functions of the process or diffusion, and terminal "payoff" function that the solution of the PDE is the (discounted) conditional expectation of given an initial value of the process. Simulation schemes are also available for Ito processes, diffusions and Ito-Levy processes.
Getting started
Browse package contents
Package details |
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| Author | S. Hill |
| Maintainer | S. Hill <52792611+shill1729@users.noreply.github.com> |
| License | MIT + file LICENSE |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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