ecld.ogf_star: Star OGF of ecld

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Star OGF of ecld

Description

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.

Usage

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)

Arguments

object	an object of ecld class
ki	a numeric vector of log-strike
order	numeric, order of the hypergeometric series to be computed

Value

The state price of option in star OGF terms.

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld(sigma=0.001*ecd.mp1)
ki <- seq(1, 5, by=1)
ecld.ogf_star(ld, ki)

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