Option Implied Moments

Compute implied return distribution moments and prices for return power contracts

This toolbox allows its user to compute prices for contracts paying powers of an asset's log return from observed put and call options for that asset. Furthermore, as a proof of concept and for checking the accuracy of approximation, a second set of functions is included, allowing moment elicitation from a volatility smile interpolation function.
This toolbox is based on the paper
Bakshi/Kapadia/Madan (2003) "Stock return characteristics, skew laws, and the differential pricing of individual equity options" of Bakshi/Kapadia/Madan, Review of Financial Studies