RND: Risk Neutral Density Extraction Package
Version 1.2

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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("RND")

Getting started

Package overview

Popular man pages

approximate.max: Max Function Approximation
dgb: Generalized Beta Density
dmln: Density of Mixture Lognormal
dshimko: Density Implied by Shimko Method
extract.am.density: Mixture of Lognormal Extraction for American Options
extract.shimko.density: Extract Risk Neutral Density based on Shimko's Method
RND-package: Risk Neutral Density Extraction Package
See all...

All man pages Function index File listing

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

Functions

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

Files

NAMESPACE
data
data/sp500.2013.06.24.rda
data/sp500.2013.04.19.rda
data/vix.2013.06.25.rda
data/oil.2012.10.01.rda
R
R/approximate.max.R
R/bsm.objective.R
R/price.mln.option.R
R/price.gb.option.R
R/price.bsm.option.R
R/extract.rates.R
R/fit.implied.volatility.curve.R
R/extract.mln.density.R
R/extract.bsm.density.R
R/price.ew.option.R
R/pgb.R
R/dmln.am.R
R/get.point.estimate.R
R/mln.am.objective.R
R/gb.objective.R
R/extract.shimko.density.R
R/extract.ew.density.R
R/MOE.R
R/dew.R
R/mln.objective.R
R/extract.gb.density.R
R/extract.am.density.R
R/dmln.R
R/price.am.option.R
R/dshimko.R
R/price.shimko.option.R
R/compute.implied.volatility.R
R/dgb.R
R/ew.objective.R
MD5
DESCRIPTION
man
man/dmln.am.Rd
man/bsm.objective.Rd
man/sp500.2013.06.24.Rd
man/price.shimko.option.Rd
man/mln.objective.Rd
man/price.gb.option.Rd
man/extract.shimko.density.Rd
man/extract.gb.density.Rd
man/ew.objective.Rd
man/price.mln.option.Rd
man/compute.implied.volatility.Rd
man/sp500.2013.04.19.Rd
man/vix.2013.06.25.Rd
man/MOE.Rd
man/oil.2012.10.01.Rd
man/dmln.Rd
man/extract.rates.Rd
man/price.bsm.option.Rd
man/get.point.estimate.Rd
man/dshimko.Rd
man/price.am.option.Rd
man/RND-package.Rd
man/gb.objective.Rd
man/extract.bsm.density.Rd
man/extract.mln.density.Rd
man/fit.implied.volatility.curve.Rd
man/dew.Rd
man/pgb.Rd
man/extract.am.density.Rd
man/mln.am.objective.Rd
man/extract.ew.density.Rd
man/approximate.max.Rd
man/price.ew.option.Rd
man/dgb.Rd
RND documentation built on May 19, 2017, 11:42 a.m.

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