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How to caltulate the moments of risk neutral density of Shimko 1993

ExcelMatlab

Joined
7/12/17
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11
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
 

Attachments

  • 1993_Shimko_Bounds of Probability.pdf
    601.4 KB · Views: 51
  • David_Shimko_example_from_his_paper.zip
    2.7 KB · Views: 39
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