ecop.polyfit_option | R Documentation |
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.
ecop.polyfit_option(k, V, k.cusp, k.new, degree.left = 6, degree.right = 6)
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 |
The state prices from the poly fit
Stephen H-T. Lihn
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