american | starting program to calculate option prices for american options |
arbitrage | calculates an arbitrage table considering put and calls with the same strike price |
asset | program to calculate option prices |
bitree | calculates option prices using the Binomial tree |
bs1 | calculates option prices using the Black and Scholes formula |
callbull | calculates the results of a Bull Call Spread for the context of option pricing |
cir | displays the yield curve for given parameters under the model of Cox/Ingersoll/Ross (1985) |
dpgp | Drees-Pickands estimator for GP model. |
dpgpdiag | Vector of Drees-Pickands estimator for GP model |
dpgpgamma | Shape parameter of Drees-Pickands estimator. |
empme | empme evalatues the empirical mean excess function of the data set x at the points t |
european | starting program to calculate option prices or implied volatilities for european options |
financemain | loads the libraries needed for the macros in finance |
financetest | self test of extreme value module |
fittail | transforms location and scale parameter of GP distribution from fit to exceedances to tail fit. |
gp1me | gp1me evaluates the mean excess function of the Pareto (GP1) distribution with shape parameter alpha for all elements of a vector. |
gpme | gpme evaluates the mean excess function of the GP distribution with shape parameter gamma for all elements of a vector. |
gpsigmaest | estimator for scale parameter within GP models |
greeks | calculates and displays the different indices which are used for trading with options, in particular delta (the partial derivative of an option with respect to the price S of the underlying asset), gamma (2 x p .d.w.r.t. price S of underlying asset), eta (delta x S / option price), delta-K (p.d.w.r.t. exercise price K), vega (p.d.w.r.t. the volatility of the asset), theta (p.d.w.r.t. the time to expiration), rho (p.d.w.r.t. the domestic interest rate), rho-b (p.d. w.r.t. the costs of carry (in percent of the value of the underlying object)). |
hill | Estimates the tail index of fat-tailed distributions |
hillgp1 | Hill estimator for GP1 model. |
hillgp1diag | Vector of Hill estimator for GP1 model |
influence | displays the influence of price determining parameters on options. It is using the Black and Scholes formula. |
kpssnum |
Calculation of the KPSS statistics for I(0) against long-memory
alternatives. We consider the two tests, denoted by KPSS_mu and KPSS_t,
and respectively based on a regression on a constant mu, and
on a constant and a time trend t.
The quantlet returns the value of the estimated statistic for two
type of the tests, i.e., const or trend and
the critical values for a 95 percent confidence interval for I(0) (const, trend).
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lrseev | LRS estimator for EV model |
mcmillan | calculates option prices using the MC Millan formula |
mleev | Maximum likelihood estimator for EV model |
mleev0 | Maximum likelihood estimator for Gumbel (EV0) model |
mlegp | Maximum likelihood estimator for GP model |
mlegp0 | Maximum likelihood estimator for exponential (GP0) model |
mlegpdiag | Vector of maximum likelihood estimator for GP model. |
momentgp | Moment estimator for GP model. |
momentgpdiag | Vector of moment estimator for GP model. |
optstart | this is the starting program to calculate option prices or implied volatilities |
pickandsgp | Pickands estimator for GP model. |
pickandsgpdiag | Vector of Pickands estimator for GP model. |
stockest | stockest is estimating from a given dataset of a random process parameters for the following models: assuming a Wiener Process (model 1), assuming a compounded Poisson Jump Process mixed with a Wiener Process (model 2) |
stockestsim | using the given data stockestsim is first estimating the parameters for the following models: a Wiener Process (model 1) and a Wiener Process with jumps where the jumps are following a compounded Poisson Jump Process (model 2) and then comparing model 1 and model 2 with the real dataset by simulation |
stocksim | stocksim is simulating random processes for a stock price by three different ways: using a Wiener Process, using a compounded Poisson Jump Process with a log normal distribution of jump height and using a mixture of both |
taills | Estimates the tail index of fat-tailed distributions |
tgarsim | tgarsim is plotting the difference between option prices by Black/Scholes and using risk neutral, GARCH or Treshold GARCH models |
volatility | volatility calculates the implied volatility of a given option |
xtremes | Graphical user interface for extreme value (EV) and generalized Pareto (GP) estimators |