HestonProb: Real Part from Heston Integrand
In thanhuwe8/fineng: What the Package Does (One Line, Title Case)
Description
Usage
Arguments
Value
Description
Real Part from Heston Integrand
Usage
1
2
HestonProb(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, q, v0,
Pnum)
Arguments
phi
Integral variable
kappa
Volatility mean reversion speed
theta
Volatility mean reversion level
lambda
risk parameter
rho
correlation between 2 Brownian/Wiener Process
sigma
volatility of variance in CIR pde
tau
time to maturity
K
strike price
S
current stock price
r
risk free rate
q
dividend rate
v0
initial value for variance
Pnum
1 or 2 for P1 or P2 under risk-neutral measure
Value
real part of Heston integrand
thanhuwe8/fineng documentation built on June 9, 2019, 2:43 p.m.
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Description Usage Arguments Value
Description
Real Part from Heston Integrand
Usage
1 2 | HestonProb(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, q, v0,
Pnum)
|
Arguments
phi |
Integral variable |
kappa |
Volatility mean reversion speed |
theta |
Volatility mean reversion level |
lambda |
risk parameter |
rho |
correlation between 2 Brownian/Wiener Process |
sigma |
volatility of variance in CIR pde |
tau |
time to maturity |
K |
strike price |
S |
current stock price |
r |
risk free rate |
q |
dividend rate |
v0 |
initial value for variance |
Pnum |
1 or 2 for P1 or P2 under risk-neutral measure |
Value
real part of Heston integrand
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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