ecd (version 0.6.4)

ecd.ogf: Option generating function of ecd

Description

Option generating function (OGF) of ecd. For call, it is integration of $(e^z-e^k) P(z)$ for z from k to Inf. For put, it is integration of $(e^k-e^z) P(z)$ for z from -Inf to k.

Usage

ecd.ogf(object, k, otype = "c", unit.sigma = FALSE, verbose = FALSE)

Arguments

object

an object of ecd class

k

a numeric vector of log-strike

otype

character, specifying option type: c or p.

unit.sigma

logical, transforming to unit sigma to achieve greater stability.

verbose

logical, display timing information, for debugging purpose.

Value

The option price normalized by underlying

Examples

d <- ecd(0, 0, sigma=0.01)
k <- seq(-0.1, 0.1, by=0.01)
ecd.ogf(d, k, "c")