[R-SIG-Finance] Risk Neutral Probability Distribution

[McGehee, Robert]

R-Financiers,
Are there R functions available for extracting the risk-neutral
probability distribution from option prices?

A paper reviewing the many techniques available is available below:
http://www.uni-konstanz.de/FuF/wiwi/jackwerth/jackwerth/paper14.pdf

Cheers, Robert

Robert McGehee, CFA
Geode Capital Management, LLC
One Post Office Square, 28th Floor | Boston, MA | 02109
Tel: 617/392-8396    Fax:617/476-6389
mailto:robert.mcgehee at geodecapital.com



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