Hi,

I am trying to do an estimation of State Price Density (SPD) and Risk
Neutral Density (RND) from a set of option prices - preferably in a
non-parametric way.
Is there some package in R that can help? fOptions does not seem to be have
this.

Alternatively, would you know a standard method or a very good research
paper/article/reference on this topic? The utility being that a good
paper/article can be changed to R code easily.

Many thanks,

Sankalp

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Sankalp Upadhyay

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