ecld.ivol_ogf_star: Calculate implied volatility using star OGF and small sigma...

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Calculate implied volatility using star OGF and small sigma formula

Description

Calculate implied volatility using star OGF and small sigma formula. SGED is not supported yet.

Usage

ecld.ivol_ogf_star(
  object,
  ki,
  epsilon = 0,
  otype = "c",
  order.local = Inf,
  order.global = Inf,
  ignore.mu = FALSE
)

Arguments

object	an object of ecld class
ki	a numeric vector of log-strike
epsilon	numeric, small asymptotic premium added to local regime
otype	option type
order.local	numeric, order of the hypergeometric series to be computed for local regime. Default is Inf, use the incomplete gamma. When it is NaN, L* value is suppressed.
order.global	numeric, order of the hypergeometric series to be computed for global regime. Default is Inf, use the incomplete gamma. If NaN, then revert to OGF.
ignore.mu	logical, ignore exp(mu) on both sides, default is FALSE.

Value

The state price of option in star OGF terms. For ecld.ivol_ogf_star, it is σ_1.

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld(sigma=0.001)
ecld.ivol_ogf_star(ld, 0)

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