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.

Documentation

Manual: ecd.pdf
Vignette: None available.

Maintainer: Stephen H-T. Lihn <stevelihn at gmail.com>

Author(s): Stephen H-T. Lihn*

Install package and any missing dependencies by running this line in your R console:

install.packages("ecd")

Depends R (>= 3.3.1)
Imports stats, utils, Rmpfr(>=0.6-0), gsl, polynom, xts, zoo, optimx, moments, parallel, graphics, methods, yaml, RSQLite, digest
Suggests knitr, testthat, roxygen2, ghyp, fOptions, shape
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Package ecd
Materials
URL http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2707810
Task Views
Version 0.8.3
Published 2017-01-06
License Artistic-2.0
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks ecd check results
Package source ecd_0.8.3.tar.gz