ecld.quartic_SN0_atm_ki

ecld.quartic_SN0_rho_stdev

ecld.quartic_SN0_skew

ecld.quartic_SN0_max_RNV

sigma

<p>Computes the small sigma limit of ATM location, rho/stdev,
and ATM skew of \(Q_p\) under the RNO measure in quartic model.
Computes the maximum risk-neutral violation as an extension of RN0 measure.</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.quartic_SN0_atm_ki function

The ATM RNO related constants and calculations in quartic model — ecld.quartic_SN0_atm_ki

The ATM RNO related constants and calculations in quartic model

ecld.quartic_SN0_atm_ki: The ATM RNO related constants and calculations in quartic model

Description

Usage

Arguments

Value