| american |
starting program to calculate option prices
for american options
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| arbitrage |
calculates an arbitrage table considering
put and calls with the same strike price
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| asset |
program to calculate option prices
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| bitree |
calculates option prices
using the Binomial tree
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| bs1 |
calculates option prices
using the Black and Scholes formula
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| callbull |
calculates the results of a Bull Call Spread
for the context of option pricing
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| cir |
displays the yield curve for given parameters under
the model of Cox/Ingersoll/Ross (1985)
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| dpgp |
Drees-Pickands estimator for GP model.
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| dpgpdiag |
Vector of Drees-Pickands estimator for GP model
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| dpgpgamma |
Shape parameter of Drees-Pickands estimator.
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| empme |
empme evalatues the empirical mean excess function
of the data set x at the points t
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| european |
starting program to calculate option prices
or implied volatilities for european options
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| financemain |
loads the libraries needed for the macros in finance
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| financetest |
self test of extreme value module
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| fittail |
transforms location and scale parameter of GP
distribution from fit to exceedances to tail fit.
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| gp1me |
gp1me evaluates the mean excess function of the
Pareto (GP1) distribution with shape parameter alpha for
all elements of a vector.
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| gpme |
gpme evaluates the mean excess function of the
GP distribution with shape parameter gamma for
all elements of a vector.
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| gpsigmaest |
estimator for scale parameter within GP models
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| 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)).
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| hill |
Estimates the tail index of fat-tailed distributions
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| hillgp1 |
Hill estimator for GP1 model.
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| hillgp1diag |
Vector of Hill estimator for GP1 model
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| influence |
displays the influence of price determining
parameters on options. It is
using the Black and Scholes formula.
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| 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
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| mcmillan |
calculates option prices
using the MC Millan formula
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| mleev |
Maximum likelihood estimator for EV model
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| mleev0 |
Maximum likelihood estimator for Gumbel (EV0) model
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| mlegp |
Maximum likelihood estimator for GP model
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| mlegp0 |
Maximum likelihood estimator for exponential (GP0) model
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| mlegpdiag |
Vector of maximum likelihood estimator for GP model.
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| momentgp |
Moment estimator for GP model.
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| momentgpdiag |
Vector of moment estimator for GP model.
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| optstart |
this is the starting program to calculate
option prices or implied volatilities
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| pickandsgp |
Pickands estimator for GP model.
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| pickandsgpdiag |
Vector of Pickands estimator for GP model.
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| 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)
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| 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
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| 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
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| taills |
Estimates the tail index of fat-tailed distributions
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| tgarsim |
tgarsim is plotting the difference between
option prices by Black/Scholes and using
risk neutral, GARCH or Treshold GARCH models
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| volatility |
volatility calculates the implied volatility of a given option
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| xtremes |
Graphical user interface for extreme value (EV) and
generalized Pareto (GP) estimators
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