dmerton: probability density function for Merton dynamics
In shill1729/OptionPricer: An option pricer for European and American vanilla stock options
Description
Usage
Arguments
Value
View source: R/merton_family.R
Description
The semi-analytic PDF for the log-returns of an asset following a Merton jump diffusion.
Usage
1
Arguments
x
log-return
t
time in trading years
rate
rate of return
volat
annual volatility
lambda
mean rate of jumps per year
jm
mean size of jumps
jv
mean volatility of jumps
N
number of terms to use in infinite summation
Value
numeric
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
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Description Usage Arguments Value
View source: R/merton_family.R
Description
The semi-analytic PDF for the log-returns of an asset following a Merton jump diffusion.
Usage
1 |
Arguments
x |
log-return |
t |
time in trading years |
rate |
rate of return |
volat |
annual volatility |
lambda |
mean rate of jumps per year |
jm |
mean size of jumps |
jv |
mean volatility of jumps |
N |
number of terms to use in infinite summation |
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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