fitHeston: fit Heston parameters using particle filter and QMLE
In shill1729/findistr: Common distributions used in finance
View source: R/heston-fitting.R
fitHeston R Documentation
fit Heston parameters using particle filter and QMLE
Description
An ad-hoc Heston fitter.
Usage
fitHeston(logReturns, iterations, N, nthresh, h)
Arguments
logReturns
data
iterations
number of steps to use in the MLE
N
number of particles
nthresh
effective threshold for PF
h
time-step
Value
vector
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/heston-fitting.R
| fitHeston | R Documentation |
fit Heston parameters using particle filter and QMLE
Description
An ad-hoc Heston fitter.
Usage
fitHeston(logReturns, iterations, N, nthresh, h)
Arguments
logReturns |
data |
iterations |
number of steps to use in the MLE |
N |
number of particles |
nthresh |
effective threshold for PF |
h |
time-step |
Value
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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