- Joined
- 7/12/17
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Hi
I am trying to reproduce the results of moments of the risk neutral density. (Shimko 1993)
I use the matlab code from Dr. Fabrice Rouah's website. The matlab code is attached.
I use trapz() function to calculated the moments. But the result is diffent from Dr Shimko's paper.
Can anyone tell me how to calculte the moments of the RND based on the matlab code attached?
Thank you
I am trying to reproduce the results of moments of the risk neutral density. (Shimko 1993)
I use the matlab code from Dr. Fabrice Rouah's website. The matlab code is attached.
I use trapz() function to calculated the moments. But the result is diffent from Dr Shimko's paper.
Can anyone tell me how to calculte the moments of the RND based on the matlab code attached?
Thank you
