rkou: Simulate double-exponential jumps
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Value
References
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
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
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 |
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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