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Risk-neutral density recovery via spectral analysis

version 1.0 (8.29 KB) by

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

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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.

Comments and Ratings (2)

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.

Rogier

Rogier (view profile)

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