ecop-class

The <code>ecop</code> class serves as an object-oriented container for
the option pricing model. It does have a specific purpose at the moment -
that is, to produce all the data for the charts of the paper, based on
CBOE data structure. Therefore, user may not find it general enough.
That probably will be the case for the time being until more popularity calls
for a more generic container.

ecop

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

ecop-class function

<dl class="dl-horizontal">
<dt><code>call</code></dt><dd>the match.call slot</dd></dl><dt><code>conf</code></dt><dd>list, configuration</dd><dt><code>key</code></dt><dd>character</dd><dt><code>symbol</code></dt><dd>character</dd><dt><code>datadate</code></dt><dd>Date</dd><dt><code>days</code></dt><dd>numeric, days between datadate and expiry date</dd><dt><code>ttm</code></dt><dd>numeric, time to maturity in days/365</dd><dt><code>int_rate</code></dt><dd>numeric</dd><dt><code>div_yield</code></dt><dd>numeric</dd><dt><code>put_data</code></dt><dd>the put data of ecop.opt class</dd><dt><code>call_data</code></dt><dd>the call data of ecop.opt class</dd><dt><code>put_conf</code></dt><dd>list, the put configuration</dd><dt><code>call_conf</code></dt><dd>list, the call configuration</dd>

ecop-class: An S4 class to represent the top-level option model

Description

Arguments

Slots