Generalized Recovery

Matlab implementation of the Generalized Recovery model:

1) Bates (2000) risk-neutral distributions and piecewise linear inverse pricing kernel

Code and data

2) Bates (2000) risk-neutral distributions and inverse pricing kernel is polynomial in return and maturity

Code and data

3) Jackwerth (2004) risk-neutral distributions and piecewise linear inverse pricing kernel

Code and data

4) Jackwerth (2004) risk-neutral distributions and inverse pricing kernel is polynomial in return and maturity

Code and data