dmerton: The probability density function under Merton's...
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Value
Description
PDF for a Jump Diffusion process. Not necessarily under the martingale measure.
Usage
1
Arguments
x
Input value for the CDF
t
The time input, for daily use 1/252
drift
The drift rate
volat
the diffusion coefficient
lambda
Mean rate of jumps per year
a
The mean jump size
b
the mean jump volatility
Value
Numerical
shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.
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Description Usage Arguments Value
Description
PDF for a Jump Diffusion process. Not necessarily under the martingale measure.
Usage
1 |
Arguments
x |
Input value for the CDF |
t |
The time input, for daily use 1/252 |
drift |
The drift rate |
volat |
the diffusion coefficient |
lambda |
Mean rate of jumps per year |
a |
The mean jump size |
b |
the mean jump volatility |
Value
Numerical
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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