Code covered by the BSD License

spectralrecovery(X,bid,ask,F,... SPECTRALRECOVERY Recover option implied risk-neutral density. (***)
spectralExample.m
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Risk-neutral density recovery via spectral analysis

20 Mar 2013

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

File Information
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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Everyone's Tags	finance, implied density, option implied density, risk neutral density, statistics
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