Analyzing the risks embedded in option prices with rndfittool

Andrea Barletta and Paolo Santucci de Magistris

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.

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Year of publication:	June 2018
Authors:	Barletta, Andre ; Santucci de Magistris, Paolo
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 2, p. 1-15
Subject:	European options \| risk-neutral density \| MATLAB app \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Risiko \| Risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks6020028 [DOI] hdl:10419/195820 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011811735