dhit_gbm: The PDF of the hitting time of for a GBM to reach a price...
In shill1729/findistr: Common distributions used in finance
View source: R/gbm-hitting-times.R
dhit_gbm R Documentation
The PDF of the hitting time of for a GBM to reach a price level
Description
The well-known density for the hitting time of a given level
in a GBM starting from a known price.
Usage
dhit_gbm(t, gbm, target, spot)
Arguments
t
time input
gbm
the parameters defining the GBM, a drift and volatility
target
the target price to reach in t time
spot
the spot price
Value
numeric or vector
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/gbm-hitting-times.R
| dhit_gbm | R Documentation |
The PDF of the hitting time of for a GBM to reach a price level
Description
The well-known density for the hitting time of a given level in a GBM starting from a known price.
Usage
dhit_gbm(t, gbm, target, spot)
Arguments
t |
time input |
gbm |
the parameters defining the GBM, a drift and volatility |
target |
the target price to reach in |
spot |
the spot price |
Value
numeric or vector
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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