uniform_log_util: Newton-Raphson algorithm for solving optimal log utiltiy...
In shill1729/numerics: Various numerical methods
Description
Usage
Arguments
Details
Description
For finding the root of the function h(x)=\log((1+bx)/(1+ax))/(b-a)-x.
Usage
1
uniform_log_util(interval, rate = 0, n = 500L)
Arguments
interval
the interval for the uniform distribution
rate
the risk-neutral rate
n
the number of iterations to take in the NR method.
Details
The algorithm is on wikipedia and quite straightforward.
shill1729/numerics documentation built on April 17, 2021, 6:46 p.m.
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Description Usage Arguments Details
Description
For finding the root of the function h(x)=\log((1+bx)/(1+ax))/(b-a)-x.
Usage
1 | uniform_log_util(interval, rate = 0, n = 500L)
|
Arguments
interval |
the interval for the uniform distribution |
rate |
the risk-neutral rate |
n |
the number of iterations to take in the NR method. |
Details
The algorithm is on wikipedia and quite straightforward.
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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