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 |