RND: Risk Neutral Density Extraction Package

This package is a collection of various functions to extract the implied risk neutral density from option.

Author
Kam Hamidieh <kh@zoolytics.com>
Date of publication
2014-03-22 07:22:05
Maintainer
Kam Hamidieh <kh@zoolytics.com>
License
GPL (>= 2)
Version
1.1

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