entropyCEV: Optimal growth-rate under CEV diffusions
In shill1729/kellyfractions: Optimize log returns
entropyCEV R Documentation
Optimal growth-rate under CEV diffusions
Description
Log return under Kelly-fraction in the CEV model.
Usage
entropyCEV(t, spot, rate, parameters)
Arguments
t
time-horizon
spot
current spot price
rate
risk-free rate
parameters
vector of drift, volatility and cev term.
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| entropyCEV | R Documentation |
Optimal growth-rate under CEV diffusions
Description
Log return under Kelly-fraction in the CEV model.
Usage
entropyCEV(t, spot, rate, parameters)
Arguments
t |
time-horizon |
spot |
current spot price |
rate |
risk-free rate |
parameters |
vector of drift, volatility and cev term. |
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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