ecd: Elliptic Lambda Distribution and Option Pricing Model
Elliptic lambda distribution and lambda option pricing model
have been evolved into a framework of
stable-law inspired distributions,
such as the extended stable lambda distribution for asset return,
stable count distribution for volatility,
and Lihn-Laplace process as a leptokurtic extension of Wiener process.
This package contains functions for the computation of
density, probability, quantile, random variable, fitting procedures,
option prices, volatility smile. It also comes with sample financial data,
and plotting routines.
| Version: |
0.9.1 |
| Depends: |
R (≥ 3.3.1) |
| Imports: |
stats, utils, Rmpfr (≥ 0.6-0), gsl, RcppFaddeeva, polynom, xts, zoo, optimx, moments, stabledist, parallel, graphics, ggplot2, gridExtra, xtable, methods, yaml, RSQLite, digest |
| Suggests: |
knitr, testthat, roxygen2, ghyp, fOptions, shape |
| Published: |
2017-10-03 |
| Author: |
Stephen H-T. Lihn [aut, cre] |
| Maintainer: |
Stephen H-T. Lihn <stevelihn at gmail.com> |
| License: |
Artistic-2.0 |
| URL: |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046732 |
| NeedsCompilation: |
no |
| Materials: |
NEWS |
| In views: |
Distributions |
| CRAN checks: |
ecd results |
Documentation:
Downloads:
Reverse dependencies:
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