Risk Neutral Densities for Financial Models
Updated 4 Jun 2012
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.
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. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Inspired by: FinancialModelling_Ch2_ImpliedVolatility, CMS Spread Caps Stochastic Local Volatility Libor Market Model
Inspired: Modern Pricing Method using Transforms, COS Method (Multiple Strikes, Bermudan, Greeks)
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