ecop.find_fixed_point_sd_by_lambda

function, takes stdev, lambda, beta as input, return ld1 object
via <code>ecop.get_ld_triple</code>. This closure function encapulates
mu_plus_ratio, epsilon_ratio, atm_imp_k.

fn_get_ld1

numeric, the lambda parameter. Must be positive. Default: 3.

lambda

numeric, the skewness parameter. Default: 0.

beta

character, option type. Default: "c".

otype

boolean, print debug message. Default: <code>FALSE</code>.

verbose

This utility finds the fixed point stdev when lambda is given. Other smile related parameters
are abstracted away via the closure function <code>fn_get_ld1</code>.
This utility is used primarily to solve the fixed point ATM hypothesis (for VIX option smile).
Note that this utility alone is not the full solution. Another utility is needed to match
the ATM skew, and the two tails (via mu and epsilon).
<code>fn_get_ld1</code> should have the functional signature of <code>fn_get_ld1(sd, lambda, beta=0)</code>
and returns an ecld object accordingly.

fixed-point

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.

ecop.find_fixed_point_sd_by_lambda: Utility to find the fixed point stdev when lambda is given

Description

Usage

Arguments

Value