ecld.ogf_star | R Documentation |
The star OGF of ecld is the limiting OGF for small sigma. It only depends on the normalized k and lambda. Its dependency on sigma and mu is removed. SGED is not supported yet.
ecld.ogf_star(object, ki) ecld.ogf_star_hgeo(object, ki, order = 4) ecld.ogf_star_exp(object, ki, order = 3) ecld.ogf_star_gamma_star(object, ki, order = 6) ecld.ogf_star_analytic(object, ki)
object |
an object of ecld class |
ki |
a numeric vector of log-strike |
order |
numeric, order of the hypergeometric series to be computed |
The state price of option in star OGF terms.
Stephen H-T. Lihn
ld <- ecld(sigma=0.001*ecd.mp1) ki <- seq(1, 5, by=1) ecld.ogf_star(ld, ki)
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