NormChf

The Characteristic Function of Normal Distribution

Provides functions for risk management and portfolio investment of securities with practical tools for data processing and plotting. Moreover, it contains functions which perform the COS Method, an option pricing method based on the Fourier-cosine series (Fang, F. (2008) <doi:10.1137/080718061>).

Wei Ling

RMOPI

Risk Management and Optimization for Portfolio Investment

Yang Liu

NormChf function

<dl><dt>u</dt>
<dd>observation</dd>
<dt>mu</dt>
<dd>the <code>mu</code> parameter</dd>
<dt>sigma</dt>
<dd>the <code>sigma</code> parameter</dd></dl>

Arguments

The Characteristic Function of Normal Distribution — NormChf

<dl>

<dt>u</dt>
<dd>observation</dd>


<dt>mu</dt>
<dd>the <code>mu</code> parameter</dd>


<dt>sigma</dt>
<dd>the <code>sigma</code> parameter</dd>

</dl>

NormChf: The Characteristic Function of Normal Distribution

Description

Usage

Value

Arguments

Examples