The geometric Brownian motion model vs. the jump-diffusoin model applied to selected WIG-20 companies in the year 2011

• Autorzy: Rafał M. Łochowski
• Języki publikacji: EN

Abstrakty

In this paper we compared two models mentioned. We calibrated and tested these models using real data on stock prices in 2011 of nine major companies quoted at the Warsaw Stock Exchange. To obtain better comparison we chose companies from different branches of economy: ASSECO (IT), GTC (construction), KERNEL (agriculture), ICGHM (mining), ORLEN (oil refining and retail), PKO BP (banking), TAURON (energy), TP S.A. (telecommunication) and TVN (television). All chosen companies were major, WIG20 companies; thus one may assume that the actions of the individual investors had limited impact on their prices. (fragment tekstu)

Słowa kluczowe

EN

Financial risk management; Stochastic models

PL

Zarządzanie ryzykiem finansowym; Modele stochastyczne

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Tom: Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej
• Strony: 41--56

Twórcy

autor

Rafał M. Łochowski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Applebaum D., Levy Processes and Stochastic Calculus. Cambridge University Press, 2009.
• Black F., Scholes M., The Pricing of Options and Corporate Liabilities, "Journal of Political Economy" 1973, No. 81 (3), pp. 637-654.
• Merton R.C., Option pricing when underlying stock returns are discontinuous, "Journal of Financial Economics" 1976, No. 3, pp. 125-144.