RNDs

Codes related to RNDs

m file Description
Datalfiles.zip Data Files for the codes (ZIP file). Download
discretIllustrationBS.m An Illustration what happens when the RND of BS options is obtained via numerical second-order differentiation and if observations are perturbated. Download
FTSE100Mar2604.xls An excel file with the raw data. Download
FTSEStart.m A first program that loads the data and reshapes it. This program should be the basis for your further explorations. Download
VolatSurf.m Extracts out of the given options the volatility surface. Download
BenchRND.m Construction of benchmark-lognormal densities. Download
MixRND.m
and
MixRND.mat file
Mixture of distribution not working (checked bscalld arguments) Download
Download
GB2RND.m
and
GBRND.mat file
Fits the Generalized Beta distribution. Download
Download
Kern.m The kernel estimator. Download
TestKern.m Tests the kernel smoother. Download
StockIdx.xls The database with stock indices. Download
RRA.m Computes the relative risk aversion function. Download
GB2RND.m Estimates a generalized beta dist. following Liu, Shackleton, Taylor, and Xu. Download
HestonSPD.m Computes the state price density for the values given in Stv. Download
Test_HestonSPD.m Runs Heston's formula yielding the State Price Density. Download
ShimkoRND.m Implements the RND construction method of Shimko. Download
ShimkoRND.mat Implements the RND construction method of Shimko. Download
MixDRet.m Constructs the density for a mixed normal. Download
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Université de Lausanne - HEC : Eric Jondeau & Michael Rockinger