Option2stat: Compute implied standardized moments from calls and puts

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

Description

Option2stat returns first N standardized moments of an asset's risk neutral log return distribution from traded put and call options traded on that asset, with equal time to maturity. Note that, as there only a discrete number of options employed in this approximation, the accuracy of the result will quickly decrease with N.

Usage

Option2stat(XC, C, XP, P, S0, df, N)

Arguments

XC	vector of call strikes
C	vector of call prices
XP	vector of put strikes
P	vector of put prices
S0	optional, if not given will be approximated along the way
df	optional, if not given, will be approximated along the way
N	optional, will return the N (4) first standardized moments. Note that, as there only a discrete number of options employed in this approximation, the accuracy of the result will quickly decrease with N.

Value

Vector of N (4) first standardized moments

Examples

data(DAX)
Option2stat(DAX$XC,DAX$C,DAX$XP,DAX$P)

Diffform/IMOMBOX documentation built on March 22, 2020, 1:18 a.m.