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

Install

install.packages('DtD')

Monthly Downloads

201

Version

0.2.2

License

GPL-2

Maintainer

Benjamin Christoffersen

Last Published

February 11th, 2020

Functions in DtD (0.2.2)

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