dhit_merton: The hitting time PDF of a Merton jump-diffusion

In shill1729/findistr: Common distributions used in finance

The hitting time PDF of a Merton jump-diffusion

Description

The PDF of the hitting time of a under Merton's jump-diffusion, i.e. a geometric Levy process with the log being an Ito diffusion plus a compound Poisson process of Gaussians. Most likely requires smoothing.

Usage

dhit_merton(t, a, param, n = 200)

Arguments

t	the current time
a	the boundary to hit above
param	the dynamics of the jump-diffusion, a vector of 5, the drift, volatility mean-jump rate, mean jump-size, sd of jump size
n	the number used in the discretization for differentiating the CDF with forward differences

Value

numeric or vector

shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.