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RND (version 1.1)
Risk Neutral Density Extraction Package
Description
This package is a collection of various functions to extract the implied risk neutral density from option.
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Version
Version
1.2
1.1
1.0
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Install
install.packages('RND')
Monthly Downloads
230
Version
1.1
License
GPL (>= 2)
Maintainer
Kam Hamidieh
Last Published
March 22nd, 2014
Functions in RND (1.1)
Search functions
price.mln.option
Price Options on Mixture of Lognormals
extract.rates
Extract Risk Free Rate and Dividend Yield
vix.2013.06.25
VIX Options on 2013-06-25
bsm.objective
BSM Objective Function
extract.gb.density
Generalized Beta Extraction
sp500.2013.06.24
S&P 500 Index Options on 2013-06-24
extract.mln.density
Extract Mixture of Lognormal Densities
extract.shimko.density
Extract Risk Neutral Density based on Shimko's Method
mln.am.objective
Objective function for the Mixture of Lognormal of American Options
MOE
Mother of All Extractions
oil.2012.10.01
West Texas Intermediate Crude Oil Options on 2013-10-01
sp500.2013.04.19
S&P 500 Index Options on 2013-04-19
mln.objective
Objective function for the Mixture of Lognormal
price.ew.option
Price Options with Edgeworth Approximated Density
extract.ew.density
Extract Edgeworth Based Density
dgb
Generalized Beta Density
ew.objective
Edgeworth Exapnsion Objective Function
fit.implied.volatility.curve
Fit Implied Quadratic Volatility Curve
dew
Edgeworth Density
dmln.am
Density of Mixture Lognormal for American Options
compute.implied.volatility
Compute Impied Volatility
get.point.estimate
Point Estimation of the Density
price.am.option
Price American Options on Mixtures of Lognormals
gb.objective
Generalized Beta Objective
price.bsm.option
Price BSM Option
dmln
Density of Mixture Lognormal
price.gb.option
Generalized Beta Option Pricing
extract.bsm.density
Extract Lognormal Density
approximate.max
Max Function Approximation
dshimko
Density Implied by Shimko Method
pgb
CDF of Generalized Beta
RND-package
Risk Neutral Density Extraction Package
extract.am.density
Mixture of Lognormal Extraction for American Options
price.shimko.option
Price Option based on Shimko's Method