Analyzing the Risks Embedded in Option Prices with rndfittool

Risks

Andrea Barletta¹  Paolo Santucci de Magistris² 

[1] Department of Economics and Business Economics, Aarhus University, 8210 Aarhus V, Denmark;Department of Economics and Finance, LUISS University, 00197 Rome, Italy;

关键词: European options;    risk-neutral density;    MATLAB app;   

DOI  :  10.3390/risks6020028

来源: DOAJ

【 摘 要 】

This paper introduces a new computational tool for the analysis of the risks embedded in a set of prices of European-style options. The software enables the estimation of the risk-neutral density (RND) from the observed option prices by means of orthogonal polynomial expansions. Orthogonal polynomials offer a viable alternative to more standard techniques based on interpolation and estimation of the second-order derivatives of option prices. The app rndfittool is available on GitHub and its usage is illustrated with examples based on real data.

【 授权许可】

Unknown