ecld.sged_const: The integral solutions of SGED

In ecd: Elliptic Lambda Distribution and Option Pricing Model

The integral solutions of SGED

Description

These integrals are mainly used as validation to analytic solutions. If you must use them, be mindful of their slower speeds.

Usage

ecld.sged_const(object)

ecld.sged_cdf(object, x)

ecld.sged_moment(object, order)

ecld.sged_mgf(object, t = 1)

ecld.sged_imgf(object, k, t = 1, otype = "c")

ecld.sged_ogf(object, k, otype = "c")

Arguments

object	an sged object of ecld class
x	a numeric vector of x
order	numeric, order of the moment to be computed
t	numeric, for MGF and IMGF
k	a numeric vector of log-strike
otype	character, specifying option type: c (default) or p.

Value

numeric

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld(3)
ecld.const(ld)

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