Risk Neutral Density Extraction Package

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Documentation for package ‘RND’ version 1.2

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RND-package Risk Neutral Density Extraction Package
approximate.max Max Function Approximation
bsm.objective BSM Objective Function
compute.implied.volatility Compute Impied Volatility
dew Edgeworth Density
dgb Generalized Beta Density
dmln Density of Mixture Lognormal
dmln.am Density of Mixture Lognormal for American Options
dshimko Density Implied by Shimko Method
ew.objective Edgeworth Exapnsion Objective Function
extract.am.density Mixture of Lognormal Extraction for American Options
extract.bsm.density Extract Lognormal Density
extract.ew.density Extract Edgeworth Based Density
extract.gb.density Generalized Beta Extraction
extract.mln.density Extract Mixture of Lognormal Densities
extract.rates Extract Risk Free Rate and Dividend Yield
extract.shimko.density Extract Risk Neutral Density based on Shimko's Method
fit.implied.volatility.curve Fit Implied Quadratic Volatility Curve
gb.objective Generalized Beta Objective
get.point.estimate Point Estimation of the Density
mln.am.objective Objective function for the Mixture of Lognormal of American Options
mln.objective Objective function for the Mixture of Lognormal
MOE Mother of All Extractions
oil.2012.10.01 West Texas Intermediate Crude Oil Options on 2013-10-01
pgb CDF of Generalized Beta
price.am.option Price American Options on Mixtures of Lognormals
price.bsm.option Price BSM Option
price.ew.option Price Options with Edgeworth Approximated Density
price.gb.option Generalized Beta Option Pricing
price.mln.option Price Options on Mixture of Lognormals
price.shimko.option Price Option based on Shimko's Method
RND Risk Neutral Density Extraction Package
sp500.2013.04.19 S&P 500 Index Options on 2013-04-19
sp500.2013.06.24 S&P 500 Index Options on 2013-06-24
vix.2013.06.25 VIX Options on 2013-06-25