BBridge |
Brownian motion, Brownian Bridge and Geometric Brownian motion simulators |
BM |
Brownian motion, Brownian Bridge and Geometric Brownian motion simulators |
dcBS |
Black-Scholes-Merton or Geometric Brownian Motion process conditional law |
dcCIR |
Conditional law of the Cox-Ingersoll-Ross process |
dcElerian |
Approximated conditional law of a diffusion process by Elerian's method |
dcEuler |
Approximated conditional law of a diffusion process |
dcKessler |
Approximated conditional law of a diffusion process by Kessler's method |
dcOU |
Ornstein-Uhlenbeck or Vasicek process conditional law |
dcOzaki |
Approximated conditional law of a diffusion process by Ozaki's method |
dcShoji |
Approximated conditional law of a diffusion process by Shoji-Ozaki method |
dcSim |
Pedersen's Simulated transition density |
dsCIR |
Cox-Ingersoll-Ross process stationary law |
dsOU |
Ornstein-Uhlenbeck or Vasicek process stationary law |
EULERloglik |
Euler approximation of the likelihood |
GBM |
Brownian motion, Brownian Bridge and Geometric Brownian motion simulators |
gmm |
Generalized Method of Moments estimator |
HPloglik |
Ait-Sahalia Hermite polynomial expansion approximation of the likelihood |
linear.mart.ef |
Linear martingale estimating function |
pcBS |
Black-Scholes-Merton or Geometric Brownian Motion process conditional law |
pcCIR |
Conditional law of the Cox-Ingersoll-Ross process |
pcOU |
Ornstein-Uhlenbeck or Vasicek process conditional law |
psCIR |
Cox-Ingersoll-Ross process stationary law |
psOU |
Ornstein-Uhlenbeck or Vasicek process stationary law |
qcBS |
Black-Scholes-Merton or Geometric Brownian Motion process conditional law |
qcCIR |
Conditional law of the Cox-Ingersoll-Ross process |
qcOU |
Ornstein-Uhlenbeck or Vasicek process conditional law |
qsCIR |
Cox-Ingersoll-Ross process stationary law |
qsOU |
Ornstein-Uhlenbeck or Vasicek process stationary law |
rcBS |
Black-Scholes-Merton or Geometric Brownian Motion process conditional law |
rcCIR |
Conditional law of the Cox-Ingersoll-Ross process |
rcOU |
Ornstein-Uhlenbeck or Vasicek process conditional law |
rsCIR |
Cox-Ingersoll-Ross process stationary law |
rsOU |
Ornstein-Uhlenbeck or Vasicek process stationary law |
sde.sim |
Simulation of Stochastic Differential Equation |
SIMloglik |
Pedersen's approximation of the likelihood |
simple.ef |
Simple estimating function of type I and II |
simple.ef2 |
Simple estimating function based on infinitesimal generator |