RND (version 1.2)

RND-package: Risk Neutral Density Extraction Package

Description

This package is a collection of various functions to extract the implied risk neutral density from option.

Details

Package:

RND

Type:

Package

Version:

1.2

Date:

2017-01-10

License:

GPL (>= 2)

References

E. Jondeau and S. Poon and M. Rockinger (2007): Financial Modeling Under Non-Gaussian Distributions Springer-Verlag, London

Examples

###
### You should see that all methods extract the same density!
###

r     = 0.05
te    = 60/365
s0    = 1000
sigma = 0.25
y     = 0.02

call.strikes.bsm   = seq(from = 500, to = 1500, by = 5)
market.calls.bsm   = price.bsm.option(r =r, te = te, s0 = s0, 
                     k = call.strikes.bsm, sigma = sigma, y = y)$call

put.strikes.bsm    = seq(from = 500, to = 1500, by = 5)
market.puts.bsm    = price.bsm.option(r =r, te = te, s0 = s0, 
                     k = put.strikes.bsm, sigma = sigma, y = y)$put

###
### See where your results will be outputted to...
###

getwd()


###
###  Running this may take a few minutes...
###
###  MOE(market.calls.bsm, call.strikes.bsm, market.puts.bsm, 
###  put.strikes.bsm, s0, r , te, y, "bsm2")
###