Calculate the mass at zero under the CEV model
Usage
CevMassZero(
spot,
texp = 1,
sigma,
beta = 0.5,
intr = 0,
divr = 0,
forward = spot * exp(-divr * texp)/df,
df = exp(-intr * texp)
)
Arguments
- 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, forward overrides spot
- df
discount factor. If given, df overrides intr
Examples
spot <- 100
texp <- 1.2
beta <- 0.5
sigma <- 2
FER::CevMassZero(spot, texp, sigma, beta)
#> [1] 8.024105e-19