I was reading http://triplehelixblog.com/2012/04/fractal-finance-a-rogue-mathematician%E2%80%99s-search-for-answers/ and then I was reading wikipedia's writeup on the levy distribution (http://en.wikipedia.org/wiki/L%C3%A9vy_distribution) and then I was poking around on jsoftware.com to find an implementation of erfc
That gets me to here: require 'stats/distribs' erfc=: erfc_pdistribs_ NB. m: location parameter (domain: y > m) NB. n: scale parameter levypdf=:2 :0 (%: n%o.2) * ^@(n % 2 * m - ]) % 1.5 ^~ m -~ ] ) levydist=:2 :0 erfc@%:@(n % 2 * m -~ ]) ) NB. no graph of this one -- it's complex -- not sure how to detect stupid mistakes levychar=:2 :0 ^@((0j1*m)&* - 0j_2 %:@*n*]) ) But I noticed this writeup on black-scholes: http://www.jsoftware.com/papers/play193.htm and I got to wondering how that would be rephrased if it used the assumptions that lead to the levy distribution. Does anyone know how to approach this problem? Thanks, -- Raul ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
