lamp.sd_factor: Calculate sd adjustment factor
In ecd: Elliptic Lambda Distribution and Option Pricing Model
lamp.sd_factor R Documentation
Calculate sd adjustment factor
Description
Calculate sd adjustment factor.
For L2 random walk, it is the power of 1/(1+alpha/2).
For L1 random walk, it is the power of 1.
This factor can be used to adjust either the scale parameter of the stable distribution
or T.inf that cuts off the Levy sums.
Usage
lamp.sd_factor(object)
Arguments
object
an object of lamp class
Value
numeric, the sd factor
Author(s)
Stephen H-T. Lihn
ecd documentation built on May 10, 2022, 1:07 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| lamp.sd_factor | R Documentation |
Calculate sd adjustment factor
Description
Calculate sd adjustment factor. For L2 random walk, it is the power of 1/(1+alpha/2). For L1 random walk, it is the power of 1. This factor can be used to adjust either the scale parameter of the stable distribution or T.inf that cuts off the Levy sums.
Usage
lamp.sd_factor(object)
Arguments
object |
an object of lamp class |
Value
numeric, the sd factor
Author(s)
Stephen H-T. Lihn
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.