m-g-h/R.MFIV: Calculate Model Free Implied Volatility, i.e. the CBOE VIX from Option Quotes
Provides functions to calculate the CBOE VIX, intermediary values and the Jiang & Tian (2007) smoothing method to deal with an insufficient strike price range.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | AGPL-3 |
| Version | 0.0.1 |
| URL | https://github.com/m-g-h/R.MFIV |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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