rdkou: Simulate displaced double-exponential jumps
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Value
References
View source: R/displaced_kou.R
Description
Simulates mixture of two exponentials one negative.
Usage
1
Arguments
n
number of variates to simulate
p
mixing probability
alpha
mean size of positive jumps
beta
mean size of negative jumps
ku
the displacement of upward jumps away from the origin
kd
the displacement of downward jumps away from the origin
Value
vector
References
The double-exponential mixture distribution or the Kou distribution was introduced (in mathematical finance) in the paper http://www.columbia.edu/~sk75/MagSci02.pdf by S.G. Kou.
shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.
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Description Usage Arguments Value References
View source: R/displaced_kou.R
Description
Simulates mixture of two exponentials one negative.
Usage
1 |
Arguments
n |
number of variates to simulate |
p |
mixing probability |
alpha |
mean size of positive jumps |
beta |
mean size of negative jumps |
ku |
the displacement of upward jumps away from the origin |
kd |
the displacement of downward jumps away from the origin |
Value
vector
References
The double-exponential mixture distribution or the Kou distribution was introduced (in mathematical finance) in the paper http://www.columbia.edu/~sk75/MagSci02.pdf by S.G. Kou.
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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