[Yuima-commits] r229 - pkg/yuimadocs/inst/doc/JSS

[noreply at r-forge.r-project.org]

Author: iacus
Date: 2013-02-07 09:55:29 +0100 (Thu, 07 Feb 2013)
New Revision: 229

Modified:
   pkg/yuimadocs/inst/doc/JSS/article-new.Rnw
Log:
various update

Modified: pkg/yuimadocs/inst/doc/JSS/article-new.Rnw
===================================================================
--- pkg/yuimadocs/inst/doc/JSS/article-new.Rnw	2013-02-07 08:45:59 UTC (rev 228)
+++ pkg/yuimadocs/inst/doc/JSS/article-new.Rnw	2013-02-07 08:55:29 UTC (rev 229)
@@ -14,7 +14,7 @@
 \SweaveOpts{prefix.string=yuima, echo=TRUE, eval=FALSE}
 
 % USE THIS INSTEAD IF YOU WANT TO EXECUTE R CODE
-%\SweaveOpts{prefix.string=yuima, echo=TRUE, eval=TRUE}
+\SweaveOpts{prefix.string=yuima, echo=TRUE, eval=TRUE}
 
 %% before editing this file get the new version, type this command on Terminal
 %% in the same directory where this Rnw-file lives
@@ -851,6 +851,13 @@
 for a functional $G^{(\ep)}$ having a stochastic expansion like (\ref{130206-8}). 
 Thus our method works even under the existence of a stochastic discount factor. 
 
+<<>>=
+library(fExoticOptions)
+LevyAsianApproxOption(TypeFlag = "c", S = xinit, SA = xinit, X = K, 
+      Time = 1, time = 1, r = 0.0, b = 1, sigma = e)@price
+TurnbullWakemanAsianApproxOption(TypeFlag = "c", S = xinit, SA = xinit, 
+X = K, Time = 1, time = 1, r = 0.0, b = 1, sigma = e,tau=0)@price
+@
 {\bf STEFANO: add comparison with other approx formulas}\par