Man pages for shill1729/FeynmanKacSolver
Feynman-Kac PDE solver for Ito diffusions and processes
| ddkou | PDF of displaced double-exponential jumps |
| dkou | PDF of double-exponential jumps |
| dmerton | The probability density function under Merton's... |
| dmerton1 | The probability density function under Merton's... |
| drift_constant | Constant drift function |
| drift_gbm | GBM drift function |
| drift_kelly | Kelly-GBM drift function |
| drift_lvm | local drift mixture coefficient function |
| drift_vasicek | Vasicek drift function |
| euler_maruyama | Simulate a sample path of a Ito-Levy process with the... |
| euler_maruyama2 | Simulating Ito diffusions |
| fd_central | Center difference for numeric vectors |
| feynman_kac | Compute conditional expectations and optimally stopped... |
| grid_function | Discretize function over space-time grid |
| mean_jump_size | Compute mean jump size given list of jump-dynamics variables |
| merton_mle | Estimate parameters for Merton jump-diffusion model via MLE |
| payoff_call | Payoff of call-option |
| payoff_call_debit | Payoff of call debit spread |
| payoff_cdf | Indicator function of an half-infinite interval |
| payoff_indicator | Indicator function of an interval |
| payoff_iron_condor | Payoff of long iron condor option |
| payoff_put | Payoff of put-option |
| payoff_put_debit | Payoff of put debit spread |
| payoff_straddle | Payoff of straddle-option |
| payoff_strangle | Payoff of strangle-option |
| pde_setup | Setting up PDE problem |
| pde_solve | Solve Feynman-Kac PDE/variational inequality for Ito... |
| pdkou | CDF of displaced double-exponential jumps |
| pide_setup | Set up grids for PIDE |
| pide_solve | PIDE solver |
| pkou | CDF of double-exponential jumps |
| rate_constant | Constant rate function |
| rate_decrease | time-scaled rate function |
| rate_increase | time-scaled rate function (increasing) |
| rdkou | Simulate displaced double-exponential jumps |
| rkou | Simulate double-exponential jumps |
| sample_path | Simulate Ito-Levy process by model name and parameters |
| sample_path2 | Simulate Ito-Levy process by model name and parameters |
| sample_path_bm | Simulate a sample path of Brownian motion starting from a... |
| sample_path_cir | Simulate a sample path of an Cox-Ingersoll-Ross short-rate... |
| sample_path_gbm | Simulate a sample path of an geometric Brownian motion... |
| sample_path_ito | Simulate a sample path of an Ito diffusion starting from a... |
| sample_path_lvm | Simulate a sample path of an local volatility mixture GBM... |
| sample_path_pbm | Simulate a sample path of planar Brownian motion starting... |
| sample_path_sbm | Simulate a sample path of spatial Brownian motion starting... |
| sample_path_vasicek | Simulate a sample path of an Vasicek short-rate model... |
| thomas_algorithm | Solving tridiagonal linear systems fast |
| volat_cir | CIR volatility coefficient function |
| volat_constant | Constant volatility coefficient function for Brownian motion... |
| volat_gbm | GBM volatility coefficient function |
| volat_kelly | Kelly-GBM volatility function |
| volat_lvm | local volatility mixture coefficient function |
