ecld.quartic_Qp: The ATM volatility and skew of Q_p in quartic model

In ecd: Elliptic Lambda Distribution and Option Pricing Model

The ATM volatility and skew of Q_p in quartic model

Description

Compute the ATM location and ATM skew of Q_p in quartic model.

Usage

ecld.quartic_Qp(object, ki)

ecld.quartic_Q(object, ki, otype)

ecld.quartic_Qp_atm_ki(object, lower = -50, upper = -1.37)

ecld.quartic_Qp_rho(object, atm_ki = NaN, lower = -50, upper = -1.37)

ecld.quartic_Qp_skew(object, ki, dki = 0.1)

ecld.quartic_Qp_atm_skew(object, dki = 0.1, lower = -50, upper = -1.37)

Arguments

object	an object of ecd class
ki	numeric, order of the moment to be computed
otype	character, specifying option type with either c or p.
lower	numeric, optional value to specify the lower bound of ATM root finding. This is often needed when the smile is collapsed in the left wing.
upper	numeric, optional value to specify the upper bound of ATM root finding This is often needed when the smile is collapsed significantly in the right wing.
atm_ki	numeric, if provided, take it as is without calculating again
dki	numeric, delta of ki for calculating slope

Value

numeric

Author(s)

Stephen H-T. Lihn

Examples

## Not run: 
    ld <- ecld.quartic(sigma=0.001*ecd.mp1, epsilon=0, rho=0, mu_plus=0)
    ecld.quartic_Qp_atm_ki(ld, lower=-12, upper=-11)
    ecld.quartic_Qp_atm_skew(ld, lower=-12, upper=-11)

## End(Not run)

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