drift_lvm: local drift mixture coefficient 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
A local volatility mixture of constant volatilities, with linear behavior near time zero.
Usage
1
Arguments
x
the price
t
the time, in trading years
probs
the probability of each mixing component
mus
the drift of each mixing component
sigmas
the volatility of each mixing component
spot
the spot value
Details
See .pdf for derivation
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
A local volatility mixture of constant volatilities, with linear behavior near time zero.
Usage
1 |
Arguments
x |
the price |
t |
the time, in trading years |
probs |
the probability of each mixing component |
mus |
the drift of each mixing component |
sigmas |
the volatility of each mixing component |
spot |
the spot value |
Details
See .pdf for derivation
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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