ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET

Pawel Kliber ()

"e-Finanse", 2014, vol. 10, issue 2, 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.

Keywords: risk-neutral pricing; option-implied density; risk aversion; real-world measure; event study Least Squares Method (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://e-finanse.com/artykuly_eng/280.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rze:efinan:v:10:y:2014:i:2:p:28-37

Access Statistics for this article

More articles in "e-Finanse" from University of Information Technology and Management, Institute of Financial Research and Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Pawel Bochenek ( this e-mail address is bad, please contact ).