CevMassZero {FER} | R Documentation |
Calculate the mass at zero under the CEV model
CevMassZero(
spot,
texp = 1,
sigma,
beta = 0.5,
intr = 0,
divr = 0,
forward = spot * exp(-divr * texp)/df,
df = exp(-intr * texp)
)
spot |
(vector of) spot price |
texp |
(vector of) time to expiry |
sigma |
(vector of) volatility |
beta |
beta |
intr |
interest rate |
divr |
dividend rate |
forward |
forward price. If given, |
df |
discount factor. If given, |
mass at zero
spot <- 100
texp <- 1.2
beta <- 0.5
sigma <- 2
FER::CevMassZero(spot, texp, sigma, beta)