obs_mean: Conditional mean and volatility functions of state and...
In shill1729/findistr: Common distributions used in finance
View source: R/heston-fitting.R
obs_mean R Documentation
Conditional mean and volatility functions of state and observation
Description
The conditional mean and volatility functions for the Heston state and
observation.
Usage
obs_mean(s, param, h = 1/252)
Arguments
s
the volatility level
param
the vector of parameters, see details
h
the time step
Details
The argument param must be a vector whose entries represent in order,
(\kappa, \theta, \xi, \mu), the mean-reversion speed, mean-reversion level, the vol-of-vol,
and mean-drift of the stock price.
Value
numeric
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/heston-fitting.R
| obs_mean | R Documentation |
Conditional mean and volatility functions of state and observation
Description
The conditional mean and volatility functions for the Heston state and observation.
Usage
obs_mean(s, param, h = 1/252)
Arguments
s |
the volatility level |
param |
the vector of parameters, see details |
h |
the time step |
Details
The argument param must be a vector whose entries represent in order,
(\kappa, \theta, \xi, \mu), the mean-reversion speed, mean-reversion level, the vol-of-vol,
and mean-drift of the stock price.
Value
numeric
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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