Diffform/IMOMBOX: Calculate Bakshi/Kapadia/Madan moments of option implied return distribution

R port of Matlab implementation of the Bakshi/Kapadia/Madan approach to the parameter-free elicitation of option implied return distribution moments by Matthias Held ([email protected]).

Getting started

Package details

Maintainer
LicenseMIT + file LICENSE
Version0.0.0.9000
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("Diffform/IMOMBOX")
Diffform/IMOMBOX documentation built on Sept. 28, 2018, 7:54 a.m.