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RND (version 1.2)
Risk Neutral Density Extraction Package
Description
Extract the implied risk neutral density from options using various methods.
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Version
Version
1.2
1.1
1.0
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Install
install.packages('RND')
Monthly Downloads
248
Version
1.2
License
GPL (>= 2)
Maintainer
Kam Hamidieh
Last Published
January 11th, 2017
Functions in RND (1.2)
Search functions
dmln
Density of Mixture Lognormal
dmln.am
Density of Mixture Lognormal for American Options
extract.bsm.density
Extract Lognormal Density
extract.am.density
Mixture of Lognormal Extraction for American Options
dgb
Generalized Beta Density
bsm.objective
BSM Objective Function
compute.implied.volatility
Compute Impied Volatility
dew
Edgeworth Density
ew.objective
Edgeworth Exapnsion Objective Function
dshimko
Density Implied by Shimko Method
extract.rates
Extract Risk Free Rate and Dividend Yield
extract.mln.density
Extract Mixture of Lognormal Densities
extract.ew.density
Extract Edgeworth Based Density
extract.gb.density
Generalized Beta Extraction
fit.implied.volatility.curve
Fit Implied Quadratic Volatility Curve
mln.am.objective
Objective function for the Mixture of Lognormal of American Options
extract.shimko.density
Extract Risk Neutral Density based on Shimko's Method
mln.objective
Objective function for the Mixture of Lognormal
gb.objective
Generalized Beta Objective
get.point.estimate
Point Estimation of the Density
pgb
CDF of Generalized Beta
price.am.option
Price American Options on Mixtures of Lognormals
price.gb.option
Generalized Beta Option Pricing
price.mln.option
Price Options on Mixture of Lognormals
RND-package
Risk Neutral Density Extraction Package
sp500.2013.04.19
S&P 500 Index Options on 2013-04-19
price.shimko.option
Price Option based on Shimko's Method
sp500.2013.06.24
S&P 500 Index Options on 2013-06-24
MOE
Mother of All Extractions
oil.2012.10.01
West Texas Intermediate Crude Oil Options on 2013-10-01
price.ew.option
Price Options with Edgeworth Approximated Density
vix.2013.06.25
VIX Options on 2013-06-25
price.bsm.option
Price BSM Option