Displaying 2 results from an estimated 2 matches for "rminus".
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2011 Aug 26
3
How to vectorize a function to handle two vectors
...rs[2];
eta <- parameters[3];
theta <- parameters[4];
v0 <- parameters[5];
function(u, t)
{
alpha <- -u*u/2 - 1i*u/2;
beta <- lambda - rho*eta*1i*u;
gamma <- eta^2/2;
d <- sqrt(beta*beta - 4*alpha*gamma);
rplus <- (beta + d)/(2*gamma);
rminus <- (beta - d)/(2*gamma);
g <- rminus / rplus;
D <- rminus * (1 - exp(-d*t))/ (1 - g*exp(-d*t));
C <- lambda * (rminus * t - 2/eta^2 * log( (1 - g*exp(-(d*t)))/(1 - g)
) );
return(exp(C*theta + D*v0));
}
}
Price_call <- function(phi, k, t)
{
integrand <- fu...
2011 Aug 18
3
Error message: object of type 'closure' is not subsettable
...r the Heston model (Eq. XX)
phiHeston <- function(kappa, rho, eta, theta, v0)
{
lambda <- - kappa
function(u, t)
{
alpha <- -u*u/2 - 1i*u/2
beta <- lambda - rho*eta*1i*u
gamma <- eta^2/2
d <- sqrt(beta*beta - 4*alpha*gamma)
rplus <- (beta + d)/(eta^2)
rminus <- (beta - d)/(eta^2)
g <- rminus / rplus
D <- rminus * (1 - exp(-d*t))/ (1 - g*exp(-d*t))
C <- lambda* (rminus * t - 2/eta^2 * log( (1 - g*exp(-(d*t)))/(1 - g)) )
return(exp(C*theta + D*v0))
}
}
## Calculating the Heston model price with fourier
HestonCall<-function(k,t)
{...