From f118066a4ad0db177fe8da525996e8c75d2eb2dc Mon Sep 17 00:00:00 2001 From: hudde Date: Wed, 31 Jan 2024 13:08:11 +0100 Subject: [PATCH] refactoring: removing unnessary interval functions --- R/Malliavin_Geometric_Asian_Greeks.R | 5 ----- 1 file changed, 5 deletions(-) diff --git a/R/Malliavin_Geometric_Asian_Greeks.R b/R/Malliavin_Geometric_Asian_Greeks.R index 15caaa2..9eba278 100644 --- a/R/Malliavin_Geometric_Asian_Greeks.R +++ b/R/Malliavin_Geometric_Asian_Greeks.R @@ -155,11 +155,6 @@ Malliavin_Geometric_Asian_Greeks <- function( mean(payoff(initial_price * I_0/time_to_maturity, exercise_price) * weight)) } - E_paths <- function(weight) { - return(exp(-(r - dividend_yield) * time_to_maturity) * - payoff(initial_price * I_0/time_to_maturity, exercise_price) * weight) - } - # TODO: comment I_0_geom <- exp(calc_I(log(initial_price * X), steps, dt) / time_to_maturity)