Model free Implied Correlation and Implied Moments

Does anyone know of code that backs out model-free implied correlation and implied moments (skewness + kurtosis) from a series of option prices?

Pseudo-code would be ok too if it was detailed enough.

 

What implied correlation might you be referring to? Is it a two-asset option or something?

As to the moments, wouldn't it be easy to get those once you have the risk-neutral pdf that you have obtained from option prices? The pdf is relatively easy to compute...

 

Thanks for the response. I mean in the way that this paper (link below) defines them in appendix A.

I am less interested in Implied Corr.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1309613

 

Take a look at Chapters 11 and 12 of:

"Option Pricing Models and Volatility Using Excel-VBA"
by ROUAH and VAINBERG
ISBN: 978-0-471-79464-6

They provide VBA code for this purpose.

 

Thanks. That's funny. I actually have this book, lent it to someone and never got it back, so I had forgotten that this was in there.

Now, if I can only find the CD....

 

Cool!
Glad to help.

Thanks for posting the link to the paper.