ecld.imnt: Incomplete moment (imnt) of ecld

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Incomplete moment (imnt) of ecld

Description

The analytic solutions for imnt of ecld, if available. Note that, by default, risk neutrality is honored. ecld.imnt_sum provides an alternative method to calculate IMGF.

Usage

ecld.imnt(object, ki, order, otype = "c")

ecld.imnt_integrate(object, ki, order, otype = "c")

ecld.imnt_sum(object, ki, order, otype = "c")

Arguments

object	an object of ecld class
ki	numeric vector of normalized log-strike, (k-mu)/sigma
order	numeric. Order of the moment to be computed. For ecld.imnt_sum, this is the maximum order to be truncated. For small sigma at lambda=3, this can be simply 2. If Inf, the slope truncation procedure will be used to determine the maximum order. However, due to the numeric limit of pgamma, it is capped at 100.
otype	character, specifying option type: c (default) or p.

Value

numeric vector

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld(sigma=0.01*ecd.mp1)
ki <- seq(-0.1, 0.1, by=0.01)
ecld.imnt(ld,ki, 1)

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