rgcpp: Simulate variates under geometric compensated Poisson...
In shill1729/findistr: Common distributions used in finance
rgcpp R Documentation
Simulate variates under geometric compensated Poisson distributions at a given time.
Description
Simulate variates that follow a geometric compensated Poisson distribution
of a given time and initial spot price. Used for generating terminal values for e.g. option pricing
or solving Feynman-Kac PDEs; not intended for simulating a sample-path.
Usage
rgcpp(n, t, spot, a, b, lambda)
Arguments
n
number of variates to simulate
t
time argument to CDF
spot
initial spot price
a
the coefficient of the Poisson RV
b
the coefficient of the compensated drift
lambda
the mean rate of arrivals
Value
numeric
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| rgcpp | R Documentation |
Simulate variates under geometric compensated Poisson distributions at a given time.
Description
Simulate variates that follow a geometric compensated Poisson distribution of a given time and initial spot price. Used for generating terminal values for e.g. option pricing or solving Feynman-Kac PDEs; not intended for simulating a sample-path.
Usage
rgcpp(n, t, spot, a, b, lambda)
Arguments
n |
number of variates to simulate |
t |
time argument to CDF |
spot |
initial spot price |
a |
the coefficient of the Poisson RV |
b |
the coefficient of the compensated drift |
lambda |
the mean rate of arrivals |
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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