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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

Install

install.packages('RND')

Monthly Downloads

192

Version

1.1

License

GPL (>= 2)

Maintainer

Kam Hamidieh

Last Published

March 22nd, 2014

Functions in RND (1.1)

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