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.


News

ecd 0.8.3

2017-01-05: Primarily a fix for RSQLite. Functions supporting VIX option pricing model are added. The paper on PDE and Local Volatility Function is about to be finished.

ecd 0.8.2

2016-07-09: Finalized the quartic lambda model and the supporting library for the paper. The paper "Closed Form Solution and Term Structure for SPX Options" is available at http://ssrn.com/abstract=2805769

ecd 0.7.0

2016-04-30: The quartic lambda option pricing model (lambda=4) is added. It provides computation engine for volatility smile of SPX options. The distribution now can take a real number for lambda (instead of a rational number). This allows user to use optimx to fit the market data to the pricing model.

ecd 0.6.4

2015-12-23: This is the first official release that passed the CRAN policy. The extdata folder has been trimmed down to fit the 5MB limit. The heavy computing test cases were moved out so that check can finish within 20 minutes. The two companion papers on the elliptic distribution and elliptic option pricing model were published to SSRN as well.

ecd 0.6.0

This release is ready for CRAN on 2015-12-01. It includes all the functions for ecd and ecld.

ecd 0.1.0

The first ‘ecd’ release was made on 2015-05-31

Reference manual

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install.packages("ecd")

0.9.1 by Stephen H-T. Lihn, a year ago


https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3046732


Browse source code at https://github.com/cran/ecd


Authors: Stephen H-T. Lihn [aut, cre]


Documentation:   PDF Manual  


Task views: Probability Distributions


Artistic-2.0 license


Imports stats, utils, Rmpfr, gsl, RcppFaddeeva, polynom, xts, zoo, optimx, moments, stabledist, parallel, graphics, ggplot2, gridExtra, xtable, methods, yaml, RSQLite, digest

Suggests knitr, testthat, roxygen2, ghyp, fOptions, shape


Imported by ldhmm.


See at CRAN