drift_kelly: Kelly-GBM drift function
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Details
Value
View source: R/drift_coefficients.R
Description
The drift coefficient function for geometric Brownian motion under the Kelly strategy.
Usage
1
drift_kelly(x, t, mu, rate, volat)
Arguments
x
spatial log-input
t
temporal input
mu
constant mean drift rate
rate
the money-market account interest rate
volat
the annualized volatility
Details
See .pdf on github for details of the mathematics.
Value
numeric
shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.
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Description Usage Arguments Details Value
View source: R/drift_coefficients.R
Description
The drift coefficient function for geometric Brownian motion under the Kelly strategy.
Usage
1 | drift_kelly(x, t, mu, rate, volat)
|
Arguments
x |
spatial log-input |
t |
temporal input |
mu |
constant mean drift rate |
rate |
the money-market account interest rate |
volat |
the annualized volatility |
Details
See .pdf on github for details of the mathematics.
Value
numeric
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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