38 lines
843 B
Text
38 lines
843 B
Text
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\name{dampedcfcallCarrMadan}
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\alias{dampedcfcallCarrMadan}
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\title{Damped characteristic function of the call option log-price}
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\usage{
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dampedcfcallCarrMadan(u, char.fn, eval.time, expiry.time, rate, alpha, ...,
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moneyness = TRUE)
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}
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\arguments{
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\item{u}{Transform variate}
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\item{char.fn}{Characteristic function of the log-price
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process}
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\item{eval.time}{Evaluation time}
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\item{expiry.time}{Expiry time}
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\item{rate}{Continuously compounded interest rate (force
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of interest)}
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\item{alpha}{Damping parameter}
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\item{...}{Parameters of the characteristic function}
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\item{moneyness}{Boolean for moneyness of call option
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(TRUE if strike price is lower than stock price)}
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}
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\value{
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Characteristic function value
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}
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\description{
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Damped characteristic function of the call option log-price
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}
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\author{
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Francois Pelletier
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}
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