ecld.fixed_point_SN0_atm_ki: The ATM RNO related constants and calculations in fixed point...
In ecd: Elliptic Lambda Distribution and Option Pricing Model

ecld.fixed_point_SN0_atm_ki

R Documentation

The ATM RNO related constants and calculations in fixed point model

Description

Computes the small sigma limit of ATM location, rho/stdev, ATM skew of Q_c, and the ratio of lambda to ATM skew under the RNO measure in the fixed point model.

Usage

ecld.fixed_point_SN0_atm_ki(lambda)

ecld.fixed_point_SN0_rho_sd(lambda)

ecld.fixed_point_SN0_atm_ki_sd()

ecld.fixed_point_SN0_skew(lambda, atm_ki = NULL)

ecld.fixed_point_SN0_lambda_skew_ratio(lambda, atm_ki = NULL)

Arguments

`lambda`	numeric the lambda parameter.
`atm_ki`	numeric optional and experimental, use it as override. This is for experimental purpose, default is `NULL`. A typical override is the `sd/sigma`.