ecd (version 0.9.2.4)

ecld.ivol_ogf_star: Calculate implied volatility using star OGF and small sigma formula

Description

Calculate implied volatility using star OGF and small sigma formula. SGED is not supported yet.

Usage

ecld.ivol_ogf_star(
  object,
  ki,
  epsilon = 0,
  otype = "c",
  order.local = Inf,
  order.global = Inf,
  ignore.mu = FALSE
)

Arguments

object

an object of ecld class

ki

a numeric vector of log-strike

epsilon

numeric, small asymptotic premium added to local regime

otype

option type

order.local

numeric, order of the hypergeometric series to be computed for local regime. Default is Inf, use the incomplete gamma. When it is NaN, L* value is suppressed.

order.global

numeric, order of the hypergeometric series to be computed for global regime. Default is Inf, use the incomplete gamma. If NaN, then revert to OGF.

ignore.mu

logical, ignore exp(mu) on both sides, default is FALSE.

Value

The state price of option in star OGF terms. For ecld.ivol_ogf_star, it is \(\sigma_1\).

Examples

# NOT RUN {
ld <- ecld(sigma=0.001)
ecld.ivol_ogf_star(ld, 0)
# }