Looking for lambda in the doc, I've found out (to my surprise) that they do exist in vimscript, and they use the syntax {args -> expr1}.
But I've also discovered that there's Vim9, the doc of which is at :help Vim9, which offers a different syntax for lambdas: (args) -> expr1.
However, if I try entering :echo ((x) => x*2)(3) I get E110.
After all, I'm using Vim 8.2. But then why do I have Vim9 doc?