Cameron Rookley also maintains this code in an archive, where you can find the most recent version.

Risk Neutral Density Estimation

Instructions:

• These procedures can be downloaded individually, or together as one zip file: pdfest.zip . Place all files (including declaration files ending in ".dec" into your "/gauss/src" directory.

Individual Programs:

• shimko.g & shimko.dec Estimate risk neutral pdf based on Shimko's method (Risk, 1993)
• jackrub.g Penalized smoothness method as described in Jackworth & Rubinstein (Journal of Finance,1997) (with Clamping)
• mlnorm.g & mlnorm.dec Estimate a mixture of log-noramls r.n. dist'n
• mvopt2.g & mvopt2.dec Calculate mean and variance of returns to options, based on an actual edgeworth expansion type density.
• pdfcdf.g Estimate risk neutral pdf,cdf,option deltas & gammas, based on d(i.v.)/Moneyness etc
• pdfmatch.g & pdfmatch.dec Estimate a parametric edgeworth expansion type density to match an empirically obtained density/* Method for estimating state price densities, using a 4 parameter
• parfit.g & parfit.dec Parametricly fit r.n. pdf, based on an edgeworth expansion type density.

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Last modified: 12/20/97