rkou: Simulate double-exponential jumps
In shill1729/findistr: Common distributions used in finance
rkou R Documentation
Simulate double-exponential jumps
Description
Simulates mixture of two exponentials one negative.
Usage
rkou(n, p, alpha, beta)
Arguments
n
number of variates to simulate
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.
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| rkou | R Documentation |
Simulate double-exponential jumps
Description
Simulates mixture of two exponentials one negative.
Usage
rkou(n, p, alpha, beta)
Arguments
n |
number of variates to simulate |
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.
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