Risk-neutral density recovery via spectral analysis
Version 1.0.0.0 (8.29 KB) by
Matthias Held
Implementation of Monnier (2013) "RND recovery via spectral analysis"
This program is an implementation of Monnier (2013) and recovers the option implied risk-neutral density from put bid/ask quotes.
Cite As
Matthias Held (2024). Risk-neutral density recovery via spectral analysis (https://www.mathworks.com/matlabcentral/fileexchange/40891-risk-neutral-density-recovery-via-spectral-analysis), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2012b
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
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Version | Published | Release Notes | |
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1.0.0.0 |