ecld.imgf: Incomplete moment generating function (IMGF) of ecld

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Incomplete moment generating function (IMGF) of ecld

Description

The analytic solutions for IMGF of ecld, if available. Note that, by default, risk neutrality is honored. However, you must note that when fitting market data, this is usually not true. SGED is supported.

Usage

ecld.imgf(object, k, otype = "c", RN = TRUE)

ecld.imgf_quartic(object, k, otype = "c", RN = TRUE)

ecld.imgf_gamma(object, k, otype = "c", RN = TRUE)

ecld.imgf_integrate(object, k, otype = "c", RN = TRUE)

Arguments

object	an object of ecld class
k	a numeric vector of log-strike
otype	character, specifying option type: c (default) or p.
RN	logical, use risk-neutral assumption for mu_D

Value

numeric, incomplete MGF

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld(sigma=0.01)
ecld.imgf(ld,0)

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