ecd (version 0.6.4)

ecld.op_V: The O, V, U operators in option pricing model

Description

The O operator takes a vector of implied volatility $\sigma_1(k)$ and transforms them to a vector of option state prices. The V operator takes a vector of option state prices and transforms them to a vector of implied volatility $\sigma_1(k)$. The U operator calculates the log-slope of the option prices.

Usage

ecld.op_V(L, k, otype = "c", stop.on.na = FALSE, use.mc = TRUE)
ecld.op_O(sigma1, k, otype = "c")
ecld.op_U_lag(L, k, sd, n = 2)

Arguments

L

a vector of option state prices

k

a numeric vector of log-strike

otype

character, specifying option type: c (default) or p.

stop.on.na

logical, to stop if fails to find solution. Default is to use NaN and not stop.

use.mc

logical, to use mclapply (default), or else just use for loop. For loop option is typically for debugging.

sigma1

a vector of implied volatility (without T)

sd

numeric, the stdev of the distribution. Instead, if an ecld or ecd object is provided, the stdev will be calculated from it.

n

numeric, number of lags in ecld.op_U_lag.

Value

a numeric vector