Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147098
Authors: 
Kliber, Paweł
Year of Publication: 
2014
Citation: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 10 [Year:] 2014 [Issue:] 2 [Pages:] 28-37
Abstract: 
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.
Subjects: 
risk-neutral pricing
option-implied density
risk aversion
real-world measure
event study
JEL: 
C58
G12
G14
Persistent Identifier of the first edition: 
Document Type: 
Article

Files in This Item:
File
Size
735.67 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.