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DtD (version 0.2.2)
Distance to Default
Description
Provides fast methods to work with Merton's distance to default model introduced in Merton (1974)
. The methods includes simulation and estimation of the parameters.
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Version
Version
0.2.2
0.2.1
0.2.0
0.1.0
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Install
install.packages('DtD')
Monthly Downloads
229
Version
0.2.2
License
GPL-2
Maintainer
Benjamin Christoffersen
Last Published
February 11th, 2020
Functions in DtD (0.2.2)
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BS_fit
Fit Black-Scholes Parameters
BS_sim
Simulate Stock Price and Price of Underlying Asset
merton_ll
Compute Log-Likelihood of Merton Model
BS_call
European Call Option Price and the Inverse
BS_fit_rolling
Fit Black-Scholes Parameters Over Rolling Window