- Tytuł:
- ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET
- Autorzy:
- Kliber, Paweł
- Powiązania:
- https://bibliotekanauki.pl/articles/599503.pdf
- Data publikacji:
- 2014
- Wydawca:
- Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
- Tematy:
-
risk-neutral pricing
option-implied density
risk aversion
real-world measure
event study - Opis:
- In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by minimizing the sum of squares of pricing errors. Obtained results are then compared with the model based on a single lognormal distribution. As an example we consider changes in risk neutral distribution at the beginning of March 2014, after the outbreak of political crisis in the Crimea.
- Źródło:
-
Finansowy Kwartalnik Internetowy e-Finanse; 2014, 10, 2; 28-37
1734-039X - Pojawia się w:
- Finansowy Kwartalnik Internetowy e-Finanse
- Dostawca treści:
- Biblioteka Nauki
Artykuł