Description Usage Arguments Value
View source: R/mixture_diffusion.R
Compute the entropy rate as a function of the fraction. This involves solving a Feynman-Kac PDE with running cost the sum of the risk-free rate and half the square of the market price of risk.
1 | entropy_mixdiff(t, s, spot, rate, parameters)
|
t |
time horizon |
s |
current price |
spot |
initial price |
rate |
risk-free rate |
parameters |
parameters of mixture |
numeric
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.