Man pages for mfrdixon/MLEMVD
Maximum Likelihood Estimation for Diffusion Equations

exacthessianCompute the exact Hessian of GBM
exactinformationmatrixCompute the exact information matrix of GBM
exactloglikCompute the exact log likelihood estimate of GBM
exactscoreCompute the exact score of GBM
getChainLoad the option chain from a csv file into a dataframe
getImpliedVolatilityApproximate the implied volatility of a derivative using the...
HestonCOSApproximate the price of a derivative using the Heston model...
HestonVegaApproximate the vega of a derivative using the Heston model...
logdensity2infoCompute the information matrix = Sum_i=1^n Score_i' Score_i
logdensity2loglikCompute the log likelihood function of the diffusion model
mleEntry point for the maximum likelihood estimation
ModelB1Compute the maximum likelihood estimate of Model B1
ModelB11Compute the maximum likelihood estimate of Model B11
ModelB2Compute the maximum likelihood estimate of Model B2
ModelB3Compute the maximum likelihood estimate of Model B3
ModelB4Compute the maximum likelihood estimate of Model B4
ModelB6Compute the maximum likelihood estimate of Model B6
ModelHestonCompute the maximum likelihood estimate of the Heston model
ModelU1Compute the maximum likelihood estimate of Model U1
ModelU10Compute the maximum likelihood estimate of Model U10
ModelU11Compute the maximum likelihood estimate of Model U11
ModelU12Compute the maximum likelihood estimate of Model U12
ModelU13Compute the maximum likelihood estimate of Model U13
ModelU2Compute the maximum likelihood estimate of Model U2
ModelU3Compute the maximum likelihood estimate of Model U3
ModelU4Compute the maximum likelihood estimate of Model U4
ModelU5Compute the maximum likelihood estimate of Model U5
ModelU6Compute the maximum likelihood estimate of Model U6
ModelU7Compute the maximum likelihood estimate of Model U7
ModelU8Compute the maximum likelihood estimate of Model U8
ModelU9Compute the maximum likelihood estimate of Model U9
summaryCompute the summary information of the maximum likelihood...
mfrdixon/MLEMVD documentation built on May 1, 2018, 11:38 p.m.