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I have questions about the code (found here Estimation of Risk-Neutral Densities Using Positive Convolution Approximation - Python).

  1. The synthetic price in Bondarenko paper includes two terms before the dot product of ak with double integral. These correspond to the double integral left of the listed strike range. I cannot find them in this code.

  2. Also there is likely a typo in formula Bondarenko gave for double integral he wrote

    double integral=density - x * integral of density

    I get

    double integral = x * integral of density - integral of x* density

    the code uses a third expression

    double integral = x* integral of density + density.

    If you differentiate this or Bondarenko's formula, result doesn't look right. so there may be a typo there as well.

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  • $\begingroup$ In his original paper O. Bondarenko provided a link to his code. Have you been able to get it? (I don't have it). $\endgroup$
    – nbbo2
    Commented Jun 16, 2020 at 17:00
  • $\begingroup$ The link does not work, I just asked Oleg where to find the code. $\endgroup$
    – user47423
    Commented Jun 17, 2020 at 17:22

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