ecld.op_V | R Documentation |
The O operator takes a vector of implied volatility σ_1(k)
and transforms them to a vector of normalized option prices.
The V operator takes a vector of normalized option prices and transforms
them to a vector of implied volatility σ_1(k).
If ttm
is provided, σ_1(k) will be divided by square root of 2 ttm
and yield Black-Scholes implied volatility.
The U operator calculates the log-slope of the option prices.
The op_VL_quartic operator is the quartic composite of V x OGF, assuming epsilon and rho are deposited in the ecld object.
The RN
parameter for OGF is not available here. It is always assumed to be FALSE
.
ecld.op_V( L, k, otype = "c", ttm = NaN, rho = 0, stop.on.na = FALSE, use.mc = TRUE ) ecld.op_O(sigma1, k, otype = "c", rho = 0) ecld.op_U_lag(L, k, sd, n = 2) ecld.op_VL_quartic( object, k, otype = "c", ttm = NaN, stop.on.na = FALSE, use.mc = TRUE )
L |
numeric, a vector of normalized local option prices |
k |
numeric, a vector of log-strike |
otype |
character, specifying option type:
|
ttm |
numeric, time to expiration (maturity), measured by fraction of year. If specified, V operator will adjust σ_1(k) to Black-Scholes implied volatility. Default is NaN. |
rho |
numeric, specify the shift in the global mu. |
stop.on.na |
logical, to stop if fails to find solution. Default is to use NaN and not stop. |
use.mc |
logical, to use mclapply, or else just use for loop.
Default is |
sigma1 |
numeric, a vector of implied volatility (without T) |
sd |
numeric, the stdev of the distribution. Instead, if an ecld or ecd object is provided, the stdev will be calculated from it. |
n |
numeric, number of lags in |
object |
an object of ecld class created from |
a numeric vector
Stephen H. Lihn
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