An implementation of the univariate elliptic distribution, and lambda option pricing model. It provides detailed functionality and data sets for the distribution and modelling. Especially, it contains functions for the computation of density, probability, quantile, fitting procedures, option prices, volatility smile. It also comes with sample financial data, and plotting routines.
| Version: | 0.8.2 |
| Depends: | R (≥ 3.1.2) |
| Imports: | stats, utils, Rmpfr (≥ 0.6-0), gsl, polynom, xts, zoo, optimx, moments, parallel, graphics, methods, yaml, RSQLite (≤ 1.0.0), digest |
| Suggests: | knitr, testthat, roxygen2, ghyp, fOptions, shape |
| Published: | 2016-07-10 |
| Author: | Stephen H-T. Lihn [aut, cre] |
| Maintainer: | Stephen H-T. Lihn <stevelihn at gmail.com> |
| License: | Artistic-2.0 |
| URL: | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2707810 |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | ecd results |
| Reference manual: | ecd.pdf |
| Package source: | ecd_0.8.2.tar.gz |
| Windows binaries: | r-devel: ecd_0.8.2.zip, r-release: ecd_0.8.2.zip, r-oldrel: ecd_0.8.2.zip |
| OS X Mavericks binaries: | r-release: ecd_0.8.2.tgz, r-oldrel: ecd_0.8.2.tgz |
| Old sources: | ecd archive |
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