payoff_cdf: Indicator function of an half-infinite interval
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Details
Value
View source: R/initial_conditions.R
Description
The indicator function returns 1 if the input is in the interval and 0 otherwise.
Usage
1
payoff_cdf(x, K)
Arguments
x
real variable input, usually representing space, position, price, log-price, etc.
K
upper-bound of interval
Details
If the indicator function of a Borel set B is used as the payoff then the Feynman-Kac formula yields the law of X_T\in B for a given initial condition.
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/initial_conditions.R
Description
The indicator function returns 1 if the input is in the interval and 0 otherwise.
Usage
1 | payoff_cdf(x, K)
|
Arguments
x |
real variable input, usually representing space, position, price, log-price, etc. |
K |
upper-bound of interval |
Details
If the indicator function of a Borel set B is used as the payoff then the Feynman-Kac formula yields the law of X_T\in B for a given initial condition.
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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