lamp.stable_rnd_walk

object

numeric, number of items in Levy sums

numeric, cumulative sum of signs in Levy sums

Calculate the stable random walk. There are 4 types of random walk you can specify:
11. Laplace(0,1). No skewess.
1. Experimental Laplace random walk via Gauss-Laplace transmutation.
22. Normal distribution N(0, sqrt(n))*epsilon. No skewess.
2. Binomial random walk, b*epsilon. This can produce skewness.

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.stable_rnd_walk: Calculate the stable random walk

Description

Usage

Arguments

Value