FER (version 0.94)

CevMassZero: Calculate the mass at zero under the CEV model

Description

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

Value

mass at zero

Examples

# NOT RUN {
spot <- 100
texp <- 1.2
beta <- 0.5
sigma <- 2
FER::CevMassZero(spot, texp, sigma, beta)

# }