survival_merton: The survival probability of a boundary by a given time under...
In shill1729/findistr: Common distributions used in finance
View source: R/merton-hitting-times.R
survival_merton R Documentation
The survival probability of a boundary by a given time under Merton's jump diffusion
Description
The survival probability of hitting a by time t. By survival,
we mean the process is not been stopped yet, i.e. has not hit above the boundary.
Usage
survival_merton(t, a, param)
Arguments
t
the current time
a
the boundary to hit above
param
the dynamics of the jump-diffusion, a vector of 5, the drift, volatility
mean-jump rate, mean jump-size, sd of jump size
Value
numeric or vector
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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.
View source: R/merton-hitting-times.R
| survival_merton | R Documentation |
The survival probability of a boundary by a given time under Merton's jump diffusion
Description
The survival probability of hitting a by time t. By survival,
we mean the process is not been stopped yet, i.e. has not hit above the boundary.
Usage
survival_merton(t, a, param)
Arguments
t |
the current time |
a |
the boundary to hit above |
param |
the dynamics of the jump-diffusion, a vector of 5, the drift, volatility mean-jump rate, mean jump-size, sd of jump size |
Value
numeric or 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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.