sld-class: An S4 class to represent the stable lambda distribution

In ecd: Elliptic Lambda Distribution and Option Pricing Model

An S4 class to represent the stable lambda distribution

Description

The sld class serves as an object-oriented interface for the stable lambda distribution. The sld prefix is also used as the namespace for the related analytic formulae derived in stable lambda distribution.

Slots

call

the match.call slot

t

numeric

nu0

numeric

theta

numeric

convo

numeric

beta.a

numeric

mu

numeric

lambda

numeric, this is default to 4.

Details

See dsl for definition of stable lambda distribution.

Author(s)

Stephen H. Lihn

References

For more detail, see Section 8.2 of Stephen Lihn (2017). A Theory of Asset Return and Volatility under Stable Law and Stable Lambda Distribution. SSRN: 3046732, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046732.

See Also

dstablecnt for N_α(.), and dstdlap for f_L^{(m)}(.).

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