Qparam.MixedTS: 'Qparam.MixedTS': MixedTS parameters under Esscher Martingale...

In PricingMixedTS: Option Pricing with exponential MixedTS process

Description

The Qparam.MixedTS converts the parameters of an exponential MixedTS process under the real measure into the corresponding parameters under the equivalent martingale measure obtained by means of Esscher Transform.

Usage

## S4 method for signature 'param.MixedTS'
Qparam.MixedTS(object, ret)

Arguments

object	an object of class param.MixedTS-class that contains the model parameters under real measure.
ret	a numeric object that contains the costant risk free rate.

Details

The exponential MixedTS Levy process is an incomplete market, then equivalent martingale measure (EMM) for pricing is not unique. The method Qparam.MixedTS uses the Esscher Transform that leaves invariant the Levy measure under the EMM.

Value

The method returns an object of class param.MixedTS-class.

Author(s)

PricingMixedTS team.

References

Available as soon as possible

Examples

## Available as soon as possible

PricingMixedTS documentation built on May 2, 2019, 5:46 p.m.