Risk Neutral Densities for Financial Models

Version 1.0.0.0 (44,3 ko) par Kienitz Wetterau FinModelling
Risk neutral densities for advanced financial models used for option pricing
5.0
(1)
2K téléchargements
Mise à jour 4 juin 2012

Afficher la licence

We present methods for calculating the risk neutral density for several financial models. We consider:
Black, Displaced Diffusion, CEV, SABR, Heston, Bates, Hull-White, Heston-Hull-White, VG, NIG, CGMY, VGGOU, VGCIR, NIGCIR, NIGGOU.

For models where no analytic representation of the density is available we either use approximation formulae or methods based on fourier transform.
We study the effects of changing the model parameters. This illustrates the topics from chapters 2 and 3 of the book Financial Modelling - Theory, Implementation and Practice.
We provide scripts for testin each model and plot the densities.

Citation pour cette source

Kienitz Wetterau FinModelling (2024). Risk Neutral Densities for Financial Models (https://www.mathworks.com/matlabcentral/fileexchange/36966-risk-neutral-densities-for-financial-models), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2012a
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
Catégories
En savoir plus sur Risk Management Toolbox dans Help Center et MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Publié le Notes de version
1.0.0.0