Risk Neutral Densities for Financial Models

Versión 1.0.0.0 (44,3 KB) por Kienitz Wetterau FinModelling
Risk neutral densities for advanced financial models used for option pricing
5.0
(1)
2K descargas
Actualizado 4 jun 2012

Ver licencia

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.

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2012a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Categorías
Más información sobre Risk Management Toolbox en Help Center y MATLAB Answers.

Community Treasure Hunt

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

Start Hunting!

Versión Publicado Notas de la versión
1.0.0.0