qMAD_BM_c {cumulcalib}

Quantile function of the distribution of the maximum absolute deviation of Brownian motion in [0,1] interval, conditional on its terminal value

Description

Quantile function of the distribution of the maximum absolute deviation of Brownian motion in [0,1] interval, conditional on its terminal value

Usage

qMAD_BM_c(p, w1)

Arguments

p

the quantity at which the quantile function will be evaluated. Currently accepts only a scalar

w1

the terminal value

Value

a scalar value