dgcpp: Cumulative distribution function for geometric compensated...
In shill1729/findistr: Common distributions used in finance
dgcpp R Documentation
Cumulative distribution function for geometric compensated Poisson processes
Description
The CDF of a geometrically compensated Poisson process at a given
time and initial spot price.
Usage
dgcpp(s, t, spot, a, b, lambda)
Arguments
s
price argument to CDF
t
time argument to CDF
spot
initial spot price
a
the coefficient of the Poisson RV
b
the coefficient of the compensated drift
lambda
the mean rate of arrivals
Value
numeric
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| dgcpp | R Documentation |
Cumulative distribution function for geometric compensated Poisson processes
Description
The CDF of a geometrically compensated Poisson process at a given time and initial spot price.
Usage
dgcpp(s, t, spot, a, b, lambda)
Arguments
s |
price argument to CDF |
t |
time argument to CDF |
spot |
initial spot price |
a |
the coefficient of the Poisson RV |
b |
the coefficient of the compensated drift |
lambda |
the mean rate of arrivals |
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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