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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

Install

install.packages('RND')

Monthly Downloads

249

Version

1.2

License

GPL (>= 2)

Maintainer

Kam Hamidieh

Last Published

January 11th, 2017

Functions in RND (1.2)

Density of Mixture Lognormal

Density of Mixture Lognormal for American Options

extract.bsm.density

Extract Lognormal Density

extract.am.density

Mixture of Lognormal Extraction for American Options

Generalized Beta Density

BSM Objective Function

compute.implied.volatility

Compute Impied Volatility

Edgeworth Density

Edgeworth Exapnsion Objective Function

Density Implied by Shimko Method

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

Objective function for the Mixture of Lognormal

Generalized Beta Objective

get.point.estimate

Point Estimation of the Density

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

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

Mother of All Extractions

West Texas Intermediate Crude Oil Options on 2013-10-01

price.ew.option

Price Options with Edgeworth Approximated Density

VIX Options on 2013-06-25

price.bsm.option

Price BSM Option