ecd.ogf: Option generating function of ecd

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Option generating function of ecd

Description

Option generating function (OGF) of ecd. For call, it is integration of (e^z-e^k) P(z) for z from k to Inf. For put, it is integration of (e^k-e^z) P(z) for z from -Inf to k.

Usage

ecd.ogf(object, k, otype = "c", unit.sigma = FALSE, verbose = FALSE)

Arguments

object	an object of ecd class
k	a numeric vector of log-strike
otype	character, specifying option type: c or p.
unit.sigma	logical, transforming to unit sigma to achieve greater stability.
verbose	logical, display timing information, for debugging purpose.

Value

The option price normalized by underlying

Author(s)

Stephen H. Lihn

Examples

d <- ecd(0, 0, sigma=0.01)
k <- seq(-0.1, 0.1, by=0.01)
ecd.ogf(d, k, "c")

ecd documentation built on May 10, 2022, 1:07 a.m.