ecd: Elliptic Lambda Distribution and Option Pricing Model

Elliptic lambda distribution and lambda option pricing model have been evolved into a framework of stable-law inspired distributions, such as the extended stable lambda distribution for asset return, stable count distribution for volatility, and Lihn-Laplace process as a leptokurtic extension of Wiener process. This package contains functions for the computation of density, probability, quantile, random variable, fitting procedures, option prices, volatility smile. It also comes with sample financial data, and plotting routines.

Version: 0.9.1
Depends: R (≥ 3.3.1)
Imports: stats, utils, Rmpfr (≥ 0.6-0), gsl, RcppFaddeeva, polynom, xts, zoo, optimx, moments, stabledist, parallel, graphics, ggplot2, gridExtra, xtable, methods, yaml, RSQLite, digest
Suggests: knitr, testthat, roxygen2, ghyp, fOptions, shape
Published: 2017-10-03
Author: Stephen H-T. Lihn [aut, cre]
Maintainer: Stephen H-T. Lihn <stevelihn at gmail.com>
License: Artistic-2.0
URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046732
NeedsCompilation: no
Materials: NEWS
In views: Distributions
CRAN checks: ecd results

Downloads:

Reference manual: ecd.pdf
Package source: ecd_0.9.1.tar.gz
Windows binaries: r-devel: ecd_0.9.1.zip, r-release: ecd_0.9.1.zip, r-oldrel: ecd_0.9.1.zip
OS X binaries: r-release: ecd_0.9.1.tgz, r-oldrel: ecd_0.9.1.tgz
Old sources: ecd archive

Reverse dependencies:

Reverse imports: ldhmm

Linking:

Please use the canonical form https://CRAN.R-project.org/package=ecd to link to this page.