ecd: Elliptic Lambda Distribution and Option Pricing Model
Version 0.9.1

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.

Package details

AuthorStephen H-T. Lihn [aut, cre]
Date of publication2017-10-03 19:57:50 UTC
MaintainerStephen H-T. Lihn <[email protected]>
LicenseArtistic-2.0
Version0.9.1
URL https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046732
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("ecd")

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ecd documentation built on Oct. 4, 2017, 1:04 a.m.