RND: Risk Neutral Density Extraction Package

Extract the implied risk neutral density from options using various methods.

AuthorKam Hamidieh <khamidieh@gmail.com>
Date of publication2017-01-11 00:14:55
MaintainerKam Hamidieh <khamidieh@gmail.com>
LicenseGPL (>= 2)
Version1.2

View on CRAN

Man pages

approximate.max: Max Function Approximation

bsm.objective: BSM Objective Function

compute.implied.volatility: Compute Impied Volatility

dew: Edgeworth Density

dgb: Generalized Beta Density

dmln: Density of Mixture Lognormal

dmln.am: Density of Mixture Lognormal for American Options

dshimko: Density Implied by Shimko Method

ew.objective: Edgeworth Exapnsion Objective Function

extract.am.density: Mixture of Lognormal Extraction for American Options

extract.bsm.density: Extract Lognormal Density

extract.ew.density: Extract Edgeworth Based Density

extract.gb.density: Generalized Beta Extraction

extract.mln.density: Extract Mixture of Lognormal Densities

extract.rates: Extract Risk Free Rate and Dividend Yield

extract.shimko.density: Extract Risk Neutral Density based on Shimko's Method

fit.implied.volatility.curve: Fit Implied Quadratic Volatility Curve

gb.objective: Generalized Beta Objective

get.point.estimate: Point Estimation of the Density

mln.am.objective: Objective function for the Mixture of Lognormal of American...

mln.objective: Objective function for the Mixture of Lognormal

MOE: Mother of All Extractions

oil.2012.10.01: West Texas Intermediate Crude Oil Options on 2013-10-01

pgb: CDF of Generalized Beta

price.am.option: Price American Options on Mixtures of Lognormals

price.bsm.option: Price BSM Option

price.ew.option: Price Options with Edgeworth Approximated Density

price.gb.option: Generalized Beta Option Pricing

price.mln.option: Price Options on Mixture of Lognormals

price.shimko.option: Price Option based on Shimko's Method

RND-package: Risk Neutral Density Extraction Package

sp500.2013.04.19: S&P 500 Index Options on 2013-04-19

sp500.2013.06.24: S&P 500 Index Options on 2013-06-24

vix.2013.06.25: VIX Options on 2013-06-25

Files in this package

RND
RND/NAMESPACE
RND/data
RND/data/sp500.2013.06.24.rda
RND/data/sp500.2013.04.19.rda
RND/data/vix.2013.06.25.rda
RND/data/oil.2012.10.01.rda
RND/R
RND/R/approximate.max.R RND/R/bsm.objective.R RND/R/price.mln.option.R RND/R/price.gb.option.R RND/R/price.bsm.option.R RND/R/extract.rates.R RND/R/fit.implied.volatility.curve.R RND/R/extract.mln.density.R RND/R/extract.bsm.density.R RND/R/price.ew.option.R RND/R/pgb.R RND/R/dmln.am.R RND/R/get.point.estimate.R RND/R/mln.am.objective.R RND/R/gb.objective.R RND/R/extract.shimko.density.R RND/R/extract.ew.density.R RND/R/MOE.R RND/R/dew.R RND/R/mln.objective.R RND/R/extract.gb.density.R RND/R/extract.am.density.R RND/R/dmln.R RND/R/price.am.option.R RND/R/dshimko.R RND/R/price.shimko.option.R RND/R/compute.implied.volatility.R RND/R/dgb.R RND/R/ew.objective.R
RND/MD5
RND/DESCRIPTION
RND/man
RND/man/dmln.am.Rd RND/man/bsm.objective.Rd RND/man/sp500.2013.06.24.Rd RND/man/price.shimko.option.Rd RND/man/mln.objective.Rd RND/man/price.gb.option.Rd RND/man/extract.shimko.density.Rd RND/man/extract.gb.density.Rd RND/man/ew.objective.Rd RND/man/price.mln.option.Rd RND/man/compute.implied.volatility.Rd RND/man/sp500.2013.04.19.Rd RND/man/vix.2013.06.25.Rd RND/man/MOE.Rd RND/man/oil.2012.10.01.Rd RND/man/dmln.Rd RND/man/extract.rates.Rd RND/man/price.bsm.option.Rd RND/man/get.point.estimate.Rd RND/man/dshimko.Rd RND/man/price.am.option.Rd RND/man/RND-package.Rd RND/man/gb.objective.Rd RND/man/extract.bsm.density.Rd RND/man/extract.mln.density.Rd RND/man/fit.implied.volatility.curve.Rd RND/man/dew.Rd RND/man/pgb.Rd RND/man/extract.am.density.Rd RND/man/mln.am.objective.Rd RND/man/extract.ew.density.Rd RND/man/approximate.max.Rd RND/man/price.ew.option.Rd RND/man/dgb.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.