ecd (version 0.6.4)

ecld.ogf_star: Star OGF of ecld

Description

The star OGF of ecld is the limiting OGF for small sigma. It only depends on the normalized k and lambda. Its dependency on sigma and mu is removed. SGED is not supported yet.

Usage

ecld.ogf_star(object, ki)
ecld.ogf_star_hgeo(object, ki, order = 4)
ecld.ogf_star_exp(object, ki, order = 3)
ecld.ogf_star_gamma_star(object, ki, order = 6)

Arguments

object

an object of ecld class

ki

a numeric vector of log-strike

order

numeric, order of the hypergeometric series to be computed

Value

The state price of option in star OGF terms.

Examples

ld <- ecld(sigma=0.001*ecd.mp1)
ki <- seq(1, 5, by=1)
ecld.ogf_star(ld, ki)