mixture_drift: The drift coefficient function for a log-normal mixture...
In shill1729/findistr: Common distributions used in finance
View source: R/mixture-family.R
mixture_drift R Documentation
The drift coefficient function for a log-normal mixture diffusion
Description
The mixture drift coefficient is a weighted average of variances.
Usage
mixture_drift(t, x, param, truncation = 0.5/252)
Arguments
t
the current time
x
the current log-price
param
the matrix of component parameters by row, see details.
truncation
the truncation of time
Details
The argument param must be a square matrix with rows representing,
in order, the probabilities, drifts, and volatilities of each component of the mixture.
Value
numeric matrix
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/mixture-family.R
| mixture_drift | R Documentation |
The drift coefficient function for a log-normal mixture diffusion
Description
The mixture drift coefficient is a weighted average of variances.
Usage
mixture_drift(t, x, param, truncation = 0.5/252)
Arguments
t |
the current time |
x |
the current log-price |
param |
the matrix of component parameters by row, see details. |
truncation |
the truncation of time |
Details
The argument param must be a square matrix with rows representing,
in order, the probabilities, drifts, and volatilities of each component of the mixture.
Value
numeric matrix
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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