ecop.polyfit_option

length-one numeric, the suggested cusp location

k.cusp

numeric, vector of log-strike to evaluate the poly fit

k.new

length-one numeric, specifying the degree of poly fit for the left tail

degree.left

length-one numeric, specifying the degree of poly fit for the right tail

degree.right

The poly fits on logarithm of option prices are performed for each side 
of the suggested cusp (specified by <code>k.cusp</code>).
This utiility is used mainly to remove the market data noise for 
the calculation of log-slope of option prices.

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.

ecop.polyfit_option: Poly fit on option prices

Description

Usage

Arguments

Value