dkou: PDF of double-exponential jumps
In shill1729/findistr: Common distributions used in finance
dkou R Documentation
PDF of double-exponential jumps
Description
PDF of mixture of two exponentials one negative.
Usage
dkou(x, p, alpha, beta)
Arguments
x
real-input of the PDF
p
mixing probability
alpha
mean size of positive jumps
beta
mean size of negative jumps
Value
vector
References
The double-exponential mixture distribution or the Kou distribution was introduced (in mathematical finance) in the paper http://www.columbia.edu/~sk75/MagSci02.pdf by S.G. Kou.
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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.
| dkou | R Documentation |
PDF of double-exponential jumps
Description
PDF of mixture of two exponentials one negative.
Usage
dkou(x, p, alpha, beta)
Arguments
x |
real-input of the PDF |
p |
mixing probability |
alpha |
mean size of positive jumps |
beta |
mean size of negative jumps |
Value
vector
References
The double-exponential mixture distribution or the Kou distribution was introduced (in mathematical finance) in the paper http://www.columbia.edu/~sk75/MagSci02.pdf by S.G. Kou.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.