ecld.solve: Analytic solution for y(x) in lambda distribution

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Analytic solution for y(x) in lambda distribution

Description

Analytic solution for y(x) if available. ecld.laplace_B is a utility function for the slopes of a skew Laplace distribution at lambda=2: B^+ and B^- with B^0/2=B^{+}+B^{-}. If sigma is provided, B notation is expanded for IMGF where B^{+}_{σ} B^{-}_{σ} = \exp(μ_D). SGED is supported.

Usage

ecld.solve(a, b, ...)

ecld.laplace_B(beta, sgn = 0, sigma = 0)

ecld.solve_quartic(a, b, ...)

ecld.solve_by_poly(a, b, ...)

ecld.solve_isomorphic(a, b, ...)

Arguments

a	an object of ecld class
b	a vector of x values
...	Not used. Only here to match the generic signature.
beta	the skew parameter
sgn	sign of -1, 0, +1
sigma	the scale parameter, optional

Value

A vector for y(x)

Author(s)

Stephen H. Lihn

Examples

ld <- ecld(sigma=0.01*ecd.mp1)
x <- seq(-0.1, 0.1, by=0.01)
ecld.solve(ld,x)

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