ecld.quartic_SN0_atm_ki: The ATM RNO related constants and calculations in quartic...
In ecd: Elliptic Lambda Distribution and Option Pricing Model
ecld.quartic_SN0_atm_ki R Documentation
The ATM RNO related constants and calculations in quartic model
Description
Computes the small sigma limit of ATM location, rho/stdev,
and ATM skew of Q_p under the RNO measure in quartic model.
Computes the maximum risk-neutral violation as an extension of RN0 measure.
Usage
ecld.quartic_SN0_atm_ki()
ecld.quartic_SN0_rho_stdev()
ecld.quartic_SN0_skew()
ecld.quartic_SN0_max_RNV(sigma = 0)
Arguments
sigma
numeric, the volatility parameter
Value
numeric
Author(s)
Stephen H-T. Lihn
ecd documentation built on May 10, 2022, 1:07 a.m.
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| ecld.quartic_SN0_atm_ki | R Documentation |
The ATM RNO related constants and calculations in quartic model
Description
Computes the small sigma limit of ATM location, rho/stdev, and ATM skew of Q_p under the RNO measure in quartic model. Computes the maximum risk-neutral violation as an extension of RN0 measure.
Usage
ecld.quartic_SN0_atm_ki() ecld.quartic_SN0_rho_stdev() ecld.quartic_SN0_skew() ecld.quartic_SN0_max_RNV(sigma = 0)
Arguments
sigma |
numeric, the volatility parameter |
Value
numeric
Author(s)
Stephen H-T. Lihn
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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