RND: Risk Neutral Density Extraction Package

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

Install the latest version of this package by entering the following in R:
AuthorKam Hamidieh <khamidieh@gmail.com>
Date of publication2017-01-11 00:14:55
MaintainerKam Hamidieh <khamidieh@gmail.com>
LicenseGPL (>= 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


approximate.max Man page
bsm.objective Man page
compute.implied.volatility Man page
dew Man page
dgb Man page
dmln Man page
dmln.am Man page
dshimko Man page
ew.objective Man page
extract.am.density Man page
extract.bsm.density Man page
extract.ew.density Man page
extract.gb.density Man page
extract.mln.density Man page
extract.rates Man page
extract.shimko.density Man page
fit.implied.volatility.curve Man page
gb.objective Man page
get.point.estimate Man page
mln.am.objective Man page
mln.objective Man page
MOE Man page
oil.2012.10.01 Man page
pgb Man page
price.am.option Man page
price.bsm.option Man page
price.ew.option Man page
price.gb.option Man page
price.mln.option Man page
price.shimko.option Man page
RND Man page
RND-package Man page
sp500.2013.04.19 Man page
sp500.2013.06.24 Man page
vix.2013.06.25 Man page

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

Please suggest features or report bugs with the GitHub issue tracker.

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