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Risk-neutral density recovery via spectral analysis

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Risk-neutral density recovery via spectral analysis

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Implementation of Monnier (2013) "RND recovery via spectral analysis"

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Description

This program is an implementation of Monnier (2013) and recovers the option implied risk-neutral density from put bid/ask quotes.

Required Products Optimization Toolbox
MATLAB release MATLAB 8.0 (R2012b)
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Comments and Ratings (2)
15 Jun 2014 Mark Whirdy

Hi Matthias

Some nice work here, just looking through it all now. One small suggestion is to replace your complex "i" with "1i" which will speed things up marginally.

12 Aug 2013 Rogier  

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