ecd (version 0.9.2.4)

ecld.ogf: Option generating function (OGF) of ecld

Description

The analytic solutions for OGF of ecld, if available. Note that, by default, risk neutrality is honored. However, you must note that when fitting market data, this is usually not true. It is also more preferable that input object already contains mu_D. It is more consistent and saves time.

Usage

ecld.ogf(object, k, otype = "c", RN = TRUE)
ecld.ogf_quartic(object, k, otype = "c", RN = TRUE)
ecld.ogf_integrate(object, k, otype = "c", RN = TRUE)
ecld.ogf_gamma(object, k, otype = "c", RN = TRUE)
ecld.ogf_imnt_sum(object, k, order, otype = "c", RN = TRUE)
ecld.ogf_log_slope(object, k, otype = "c", RN = TRUE)

Arguments

object

an object of ecld class

k

a numeric vector of log-strike

otype

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

RN

logical, use risk-neutral assumption for mu_D

order

numeric, order of the moment to be computed

Value

The state price of option

Examples

# NOT RUN {
ld <- ecld(sigma=0.01*ecd.mp1)
k <- seq(-0.1, 0.1, by=0.05)
ecld.ogf(ld,k)
# }