Risk-neutral density recovery via spectral analysis
Implementation of Monnier (2013) "RND recovery via spectral analysis"
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This program is an implementation of Monnier (2013) and recovers the option implied risk-neutral density from put bid/ask quotes.
Cite As
Matthias Held (2026). Risk-neutral density recovery via spectral analysis (https://www.mathworks.com/matlabcentral/fileexchange/40891-risk-neutral-density-recovery-via-spectral-analysis), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (8.29 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
