lamp.sd_factor

object

<p>Calculate sd adjustment factor. 
For L2 random walk, it is the power of 1/(1+alpha/2).
For L1 random walk, it is the power of 1.
This factor can be used to adjust either the scale parameter of the stable distribution
or T.inf that cuts off the Levy sums.</p>

Simulation

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.

lamp.sd_factor: Calculate sd adjustment factor

Description

Usage

Arguments

Value