ESTYMACJA MIARY MARTYNGAŁOWEJ NA PODSTAWIE CEN OPCJI Z GIEŁDY PAPIERÓW WARTOŚCIOWYCH W WARSZAWIE
ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET
Author(s): Paweł KliberSubject(s): Economy, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: risk-neutral pricing; option-implied density; risk aversion; realworld measure; event study;
Summary/Abstract: In the paper we present the usage of risk neutral measure estimation to the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the prices 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.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 4
- Page Range: 37-51
- Page Count: 15
- Language: Polish