ecop.opt-class

The <code>ecop.opt</code> class serves as an object-oriented container for
the type-specific (p or c) option data.

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.opt-class function

<dl class="dl-horizontal">
<dt><code>call</code></dt><dd>the match.call slot</dd></dl><dt><code>otype</code></dt><dd>character, option type</dd><dt><code>range.from</code></dt><dd>numeric, starting price range</dd><dt><code>range.to</code></dt><dd>numeric, ending price range</dd><dt><code>momentum</code></dt><dd>numeric, momentum for tranlation (T) operator</dd><dt><code>epsilon</code></dt><dd>numeric, asymptotic premium</dd><dt><code>k_cusp</code></dt><dd>numeric, the suggested cusp location for poly fit of prices</dd><dt><code>ecldOrEcd</code></dt><dd>the ecld/ecd class to calculate theoretical values in local regime</dd><dt><code>S</code></dt><dd>underyling price, this can be overriden by conf</dd><dt><code>S_raw</code></dt><dd>underyling price (before override)</dd><dt><code>strike</code></dt><dd>strike price</dd><dt><code>k</code></dt><dd>log-strike price</dd><dt><code>V_last</code></dt><dd>last option price</dd><dt><code>V_bid</code></dt><dd>bid option price</dd><dt><code>V_ask</code></dt><dd>ask option price</dd><dt><code>V</code></dt><dd>finalized option price (likely mid-point)</dd><dt><code>IV</code></dt><dd>implied volatility from the vendor</dd>

ecop.opt-class: An S4 class to represent the option data and model calculation

Description

Arguments

Slots