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.
Titolo: | Analyzing the Risks Embedded in Option Prices with rndfittool |
Autori: | Santucci De Magistris, Paolo (Corresponding) |
Data di pubblicazione: | 2018 |
Rivista: | |
Handle: | http://hdl.handle.net/11385/179203 |
Appare nelle tipologie: | 01.1 - Articolo su rivista (Article) |
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File | Descrizione | Tipologia | Licenza | |
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Barletta_Santucci_2018.pdf | Versione dell'editore | DRM non definito | Open Access Visualizza/Apri |
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