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

Description Usage Arguments Value Author(s) Examples

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

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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

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

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