Option Implied Moments

Compute implied return distribution moments and prices for return power contracts
685 Downloads
Updated 30 Jul 2014

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This toolbox allows its user to compute prices for contracts paying powers of an asset's log return from observed put and call options for that asset. Furthermore, as a proof of concept and for checking the accuracy of approximation, a second set of functions is included, allowing moment elicitation from a volatility smile interpolation function.
This toolbox is based on the paper
Bakshi/Kapadia/Madan (2003) "Stock return characteristics, skew laws, and the differential pricing of individual equity options" of Bakshi/Kapadia/Madan, Review of Financial Studies

Cite As

Matthias Held (2024). Option Implied Moments (https://www.mathworks.com/matlabcentral/fileexchange/47356-option-implied-moments), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2013b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.2.0.0

changed title

1.1.0.0

initialized link to Mathworks page in help file.

1.0.0.0