volat_lvm: local volatility mixture coefficient function
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Details
Value
View source: R/volatility_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
sigmas
the volatility of each mixing component
rate
the drift or risk-free rate (depending on measure) can also be a mixture
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/volatility_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 |
sigmas |
the volatility of each mixing component |
rate |
the drift or risk-free rate (depending on measure) can also be a mixture |
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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