Option Implied Moments
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
Zitieren als
Matthias Held (2024). Option Implied Moments (https://www.mathworks.com/matlabcentral/fileexchange/47356-option-implied-moments), MATLAB Central File Exchange. Abgerufen .
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- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Mortgage-Backed Securities >
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Version | Veröffentlicht | Versionshinweise | |
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1.2.0.0 | changed title |
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1.1.0.0 | initialized link to Mathworks page in help file. |
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1.0.0.0 |