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PCA

于 2010-05-19 发布文件大小:2KB

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This function calculates the RND from a cross-section of put prices using the PCA method as described in O. Bondarenko. ``Recovering Risk-Neutral Densities: A New Nonparametric Approach, UIC working paper, September 2000. (This function calculates the RND from a cross-section of put prices using the PCA method as described in O. Bondarenko. ``Recovering Risk-Neutral Densities: A New Nonparametric Approach, UIC working paper, September 2000. )

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