[R-SIG-Finance] <no subject>

[Adrian Dragulescu]

For Fourier transforms, see ?fft.  On "integro-differential equations" I
don't know any R package that does that in any general way.  As you
know these are hard to solve analytically and generic numerical solutions exist
only for special simple forms.  I doubt that Mathematica has a general
numerical routine for solving such equations.

For numerical integration, see ?integrate or the adapt package.  Of course
you can code your favorite quadrature method.  I can provide you with
a Filon method and a GaussHermite method if you need.

Best,
Adrian Dragulescu


 and
that holds for any.

On Wed, 17 Dec 2008, glenn roberts wrote:

> Does anyone have and information on simple (if that¹s the word !) option
> pricing with Generalized Hyperbolic Distributions at all?
>
> I am new to R and have done the work with the GH distribution packages (all
> addressing the fitting of the parameters to an underlying) and would like to
> do some work on the options pricing side: namely the implied distribution of
> returns from option prices. Just wondered what R has got to offer in terms
> of Fourier Transformations (one way of doing it) and partial
> integro-differential equations.
>
> I am trying to translate a work from Mathematica to R on this topic and
> could do with a few pointers.
>
> Thanks
>
> Glenn
>
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