trans_den_merton: The transition density used and reflect in the method of...
In shill1729/findistr: Common distributions used in finance
View source: R/merton-hitting-times.R
trans_den_merton R Documentation
The transition density used and reflect in the method of images
Description
The transition density figuring in the method of images.
Usage
trans_den_merton(x, t, a, param)
Arguments
x
the space variable
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.
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View source: R/merton-hitting-times.R
| trans_den_merton | R Documentation |
The transition density used and reflect in the method of images
Description
The transition density figuring in the method of images.
Usage
trans_den_merton(x, t, a, param)
Arguments
x |
the space variable |
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.
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