Risk neutral density recovery via spectral analysis in matlab

The following Matlab project contains the source code and Matlab examples used for risk neutral density recovery via spectral analysis. This program is an implementation of Monnier (2013) and recovers the option implied risk-neutral density from put bid/ask quotes.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
license.txt 1340
spectralExample.m 882
spectralExampleData.mat 932
spectralrecovery.m 14787

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