entropyHeston: Optimized log-growth for Heston dynamics
In shill1729/kellyfractions: Optimize log returns
entropyHeston R Documentation
Optimized log-growth for Heston dynamics
Description
Compute the log-growth under the Kelly-criterion
for the stochastic Heston volatility model.
Usage
entropyHeston(v0, tt, param, rate = 0, resolution = c(100, 100))
Arguments
v0
current volatility state
tt
time-horizon
param
the vector c(kappa, theta, xi, mu)
rate
the risk-free rate
resolution
the time and space interval resolution
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.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.
| entropyHeston | R Documentation |
Optimized log-growth for Heston dynamics
Description
Compute the log-growth under the Kelly-criterion for the stochastic Heston volatility model.
Usage
entropyHeston(v0, tt, param, rate = 0, resolution = c(100, 100))
Arguments
v0 |
current volatility state |
tt |
time-horizon |
param |
the vector |
rate |
the risk-free rate |
resolution |
the time and space interval resolution |
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.
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.