ecld.mgf_term: The term structure of ecld symmetric MGF

In ecd: Elliptic Lambda Distribution and Option Pricing Model

The term structure of ecld symmetric MGF

Description

ecld.mgf_term and ecld.mgf_diterm are the term and derivative of the term by order (n) in the summation of MGF. Since ecld.mgf_term uses lgamma instead of gamma itself, ecld.mgf_term_original is to preserve the original formula. ecld.mgf_trunc uses ecld.mgf_diterm to locate the truncation of MGF terms. ecld.mgf_trunc_max_sigma locates the maximum sigma that keeps MGF finite for each lambda. SGED is supported.

Usage

ecld.mgf_term(object, order, t = 1)

ecld.mgf_term_original(object, order, t = 1)

ecld.mgf_diterm(object, order, t = 1)

ecld.mgf_trunc(object, t = 1)

ecld.mgf_trunc_max_sigma(object, order = 1)

Arguments

object	an object of ecd class
order	numeric. Order of the term (moment). Order can be a vector.
t	numeric, for MGF

Value

numeric

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld(3, sigma=0.01*ecd.mp1)
ecld.mgf_trunc(ld)

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