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"
4.0
(3)
531 Downloads
Updated 20 Mar 2013

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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 Linux
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Version Published Release Notes
1.0.0.0