# Normal approximation of the distribution function of the Esscher # transform of a Laplace Motion # # Author: Francois Pelletier # # LGPL 3.0 ############################################################################### #' Normal approximation of the distribution function of the #' Esscher transform of a Laplace Motion #' @param x vector of quantiles #' @param param Parameter vector #' @param hEsscher Esscher transform parameter #' @param eval.time Time of the process #' @param type Choose between "mu" or "kappa" parametrization #' @param log Logical for log-parameters #' @param start Starting value of the process #' @export pnormapproxEsscherLM #' @return Normal distribution function approximation #' @author Francois Pelletier pnormapproxEsscherLM <- function(x,param,hEsscher=0,eval.time=1,type="mu",log=FALSE,start=0) { pnorm(x,start+eval.time*(mGAL(param,1,type,log)+hEsscher*cmGAL(param,2,type,log)), sqrt(eval.time*cmGAL(param,2,type,log))) }