ecld.fixed_point_SN0_atm_ki

ecld.fixed_point_SN0_rho_sd

ecld.fixed_point_SN0_atm_ki_sd

ecld.fixed_point_SN0_skew

ecld.fixed_point_SN0_lambda_skew_ratio

lambda

<p>numeric optional and experimental, use it as override.
This is for experimental purpose, default is <code>NULL</code>.
A typical override is the <code>sd/sigma</code>.</p>

atm_ki

<p>Computes the small sigma limit of ATM location, rho/stdev,
ATM skew of \(Q_c\), and the ratio of lambda to ATM skew 
under the RNO measure in the fixed point model.</p>

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.

Stephen Lihn

Elliptic Lambda Distribution and Option Pricing Model

ecld.fixed_point_SN0_atm_ki function

The ATM RNO related constants and calculations in fixed point model — ecld.fixed_point_SN0_atm_ki

The ATM RNO related constants and calculations in fixed point model

ecld.fixed_point_SN0_atm_ki: The ATM RNO related constants and calculations in fixed point model

Description

Usage

Arguments

Value