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

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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.

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Kienitz Wetterau FinModelling (2023). Risk Neutral Densities for Financial Models (https://www.mathworks.com/matlabcentral/fileexchange/36966-risk-neutral-densities-for-financial-models), MATLAB Central File Exchange. Recuperado June 11, 2023.

Compatibilidad con la versión de MATLAB

Se creó con R2012a

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Agradecimientos

Inspirado por: FinancialModelling_Ch2_ImpliedVolatility, CMS Spread Caps Stochastic Local Volatility Libor Market Model

Inspiración para: Modern Pricing Method using Transforms, COS Method (Multiple Strikes, Bermudan, Greeks)

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Versión	Publicado	Notas de la versión
1.0.0.0	4 Jun 2012		Descargar