Package: RND 1.2

RND: Risk Neutral Density Extraction Package

Extract the implied risk neutral density from options using various methods.

Authors:Kam Hamidieh <[email protected]>

RND_1.2.tar.gz
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RND.pdf |RND.html✨
RND/json (API)

# Install 'RND' in R:
install.packages('RND', repos = c('https://khamidieh.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

29 exports 1 stars 2.18 score 0 dependencies 9 mentions 70 scripts 237 downloads

Last updated 8 years agofrom:f9287319b1. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 16 2024
R-4.5-winOKSep 16 2024
R-4.5-linuxOKSep 16 2024
R-4.4-winOKSep 16 2024
R-4.4-macOKSep 16 2024
R-4.3-winOKSep 16 2024
R-4.3-macOKSep 16 2024

Exports:approximate.maxbsm.objectivecompute.implied.volatilitydewdgbdmlndmln.amdshimkoew.objectiveextract.am.densityextract.bsm.densityextract.ew.densityextract.gb.densityextract.mln.densityextract.ratesextract.shimko.densityfit.implied.volatility.curvegb.objectiveget.point.estimatemln.am.objectivemln.objectiveMOEpgbprice.am.optionprice.bsm.optionprice.ew.optionprice.gb.optionprice.mln.optionprice.shimko.option

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Risk Neutral Density Extraction PackageRND-package RND
Max Function Approximationapproximate.max
BSM Objective Functionbsm.objective
Compute Impied Volatilitycompute.implied.volatility
Edgeworth Densitydew
Generalized Beta Densitydgb
Density of Mixture Lognormaldmln
Density of Mixture Lognormal for American Optionsdmln.am
Density Implied by Shimko Methoddshimko
Edgeworth Exapnsion Objective Functionew.objective
Mixture of Lognormal Extraction for American Optionsextract.am.density
Extract Lognormal Densityextract.bsm.density
Extract Edgeworth Based Densityextract.ew.density
Generalized Beta Extractionextract.gb.density
Extract Mixture of Lognormal Densitiesextract.mln.density
Extract Risk Free Rate and Dividend Yieldextract.rates
Extract Risk Neutral Density based on Shimko's Methodextract.shimko.density
Fit Implied Quadratic Volatility Curvefit.implied.volatility.curve
Generalized Beta Objectivegb.objective
Point Estimation of the Densityget.point.estimate
Objective function for the Mixture of Lognormal of American Optionsmln.am.objective
Objective function for the Mixture of Lognormalmln.objective
Mother of All ExtractionsMOE
West Texas Intermediate Crude Oil Options on 2013-10-01oil.2012.10.01
CDF of Generalized Betapgb
Price American Options on Mixtures of Lognormalsprice.am.option
Price BSM Optionprice.bsm.option
Price Options with Edgeworth Approximated Densityprice.ew.option
Generalized Beta Option Pricingprice.gb.option
Price Options on Mixture of Lognormalsprice.mln.option
Price Option based on Shimko's Methodprice.shimko.option
S&P 500 Index Options on 2013-04-19sp500.2013.04.19
S&P 500 Index Options on 2013-06-24sp500.2013.06.24
VIX Options on 2013-06-25vix.2013.06.25