ecop.polyfit_option: Poly fit on option prices

Description Usage Arguments Value Author(s)

Description

The poly fits on logarithm of option prices are performed for each side of the suggested cusp (specified by k.cusp). This utiility is used mainly to remove the market data noise for the calculation of log-slope of option prices.

Usage

1
ecop.polyfit_option(k, V, k.cusp, k.new, degree.left = 6, degree.right = 6)

Arguments

k

numeric, vector of log-strike

V

numeric, vectors of option prices

k.cusp

length-one numeric, the suggested cusp location

k.new

numeric, vector of log-strike to evaluate the poly fit

degree.left

length-one numeric, specifying the degree of poly fit for the left tail

degree.right

length-one numeric, specifying the degree of poly fit for the right tail

Value

The state prices from the poly fit

Author(s)

Stephen H-T. Lihn


ecd documentation built on Oct. 4, 2017, 1:04 a.m.