ecd: Elliptic Distribution and Lambda Option Pricing Model

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: 0.8.3
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
Published: 2017-01-06
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

Downloads:

Reference manual: ecd.pdf
Package source: ecd_0.8.3.tar.gz
Windows binaries: r-devel: ecd_0.8.3.zip, r-release: ecd_0.8.3.zip, r-oldrel: ecd_0.8.3.zip
OS X El Capitan binaries: r-release: ecd_0.8.3.tgz
OS X Mavericks binaries: r-oldrel: ecd_0.8.3.tgz
Old sources: ecd archive

Reverse dependencies:

Reverse imports: ldhmm

Linking:

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