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>
License: Artistic-2.0
NeedsCompilation: no
Materials: NEWS
CRAN checks: ecd results


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

Reverse dependencies:

Reverse imports: ldhmm


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