Constructors
constructor
-
Parameters
Properties
Private _absProb
Private _alpha
Private _beta
Private _expiryTime
Private _externalForward
Private _fmax
Private _fmin
Private _forward
Private _integrator
Private _nu
Private _numericalForward
Private _numericalIntegralOverP
_numerical
IntegralOverP: RealPrivate _rho
Static beta_max
Static beta_min
Static density_lower_bound
density_
lower_bound: Real = 1e-50Static density_threshold
density_
threshold: Real = 1e-100Static expiryTime_max
expiry
Time_max: Real = 30Static forward_accuracy
forward_
accuracy: Real = 0.000001Static forward_search_step
forward_
search_step: Real = 0.001Static i_accuracy
Static i_max_iterations
i_
max_iterations: Size = 10000Static nsim
Static nu_max
Static nu_min
Static phiByTau_cutoff
phi
ByTau_cutoff: Real = 124.587Static rho_max
Static rho_min
Static sigmaI_max
Static sigmaI_min
Static strike_min
strike_
min: Real = 0.000001Static tiny_prob
tiny_
prob: Real = 0.00001Methods
absorptionProbability
- absorptionProbability(): Real
-
alpha
-
beta
-
density
-
Parameters
digitalOptionPrice
-
Parameters
expiryTime
-
forward
-
Private forwardError
-
Parameters
nu
-
numericalForward
-
optionPrice
-
Parameters
p
-
Parameters
rho
-