ecop.polyfit_option: Poly fit on option prices

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Poly fit on option prices

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

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 May 10, 2022, 1:07 a.m.