Elliptic lambda distribution and lambda option pricing model have been evolved into a framework of stablelaw inspired distributions, such as the extended stable lambda distribution for asset return, stable count distribution for volatility, and LihnLaplace 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.
Package details 


Author  Stephen HT. Lihn [aut, cre] 
Date of publication  20171003 19:57:50 UTC 
Maintainer  Stephen HT. Lihn <[email protected]> 
License  Artistic2.0 
Version  0.9.1 
URL  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046732 
Package repository  View on CRAN 
Installation 
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