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Risk Neutral Densities for Financial Models

Risk neutral densities for advanced financial models used for option pricing

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Updated 04 Jun 2012

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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.

Comments and Ratings (1)

Daeeun

Thank you for such good codes.

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux