ecld.imgf | R Documentation |
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.
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)
object |
an object of ecld class |
k |
a numeric vector of log-strike |
otype |
character, specifying option type:
|
RN |
logical, use risk-neutral assumption for |
numeric, incomplete MGF
Stephen H-T. Lihn
ld <- ecld(sigma=0.01) ecld.imgf(ld,0)
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