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Learning MATLAB | Option pricing | Utility codes | Ext. Risk Neutral Densities | Econometrics | Statistics | Portfolio optimization | Various |
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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