stableParameters
(Package: FMStable) :
Setting up Parameters to Describe both Extremal Stable Distributions
Functions which create stable distributions having specified properties. Each of these functions takes scalar arguments and produces a description of a single stable distribution.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: fitGivenQuantile, matchQuartiles, print.stableParameters, setMomentsFMstable, setParam, stable, stableParameters
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0 images
optionValues
(Package: FMStable) :
Values of Options over Finite Moment Log Stable Distributions
Computes values of European-style call and put options over assets whose future price is expected to follow a finite moment log stable distribution.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: callFMstable, optionsFMstable, putFMstable
●
1 images
moments
(Package: FMStable) :
Convolutions of Finite Moment Log Stable Distributions and the
If X_1, … , X_n are independent random variables with the same stable distribution then X_1+ … +X_n has a stable distribution with the same alpha. The function iidcombine allows the parameters of the resulting stable distribution to be computed. Because stable distributions are infinitely divisible, it is also easy to find the parameters describing the distribution of X_1 from the parameters describing the distribution of X_1+ … +X_n.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: iidcombine, moments
●
1 images
impliedVolatility
(Package: FMStable) :
Computations Regarding Value of Options for Log Normal Distributions
Computes values of European-style call and put options over assets whose future price is expected to follow a log normal distribution.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: BSOptionValue, ImpliedVol, lnorm.param
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0 images
A procedure based on the R function integrate for computing the distribution function for stable distributions which may be skew but have standard location and scale parameters. This computation is not fast.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: Gstable, tailsGstable
●
0 images
FMstable
(Package: FMStable) :
Finite Moment Log Stable Distributions
Density function, distribution function, and quantile function for a log stable distribution with location, scale and shape parameters. For such families of distributions all moments are finite. Carr and Wu (2003) refer to such distributions as “finite moment log stable processes”.
● Data Source:
CranContrib
● Keywords: distribution
● Alias: FMstable, dFMstable, pFMstable, pFMstable.alpha0, qFMstable, tailsFMstable
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1 images
Estable
(Package: FMStable) :
Extremal or Maximally Skew Stable Distributions
Density function, distribution function, quantile function and random generation for stable distributions which are maximally skewed to the right. These distributions are called Extremal by Zolotarev (1986).
● Data Source:
CranContrib
● Keywords: distribution
● Alias: Estable, dEstable, pEstable, qEstable, tailsEstable
●
3 images
providing 
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