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2014 | 15(XV) | nr 4 | 37--51
Tytuł artykułu

Estymacja miary martyngałowej na podstawie cen opcji z Giełdy Papierów Wartościowych w Warszawie

Autorzy
Treść / Zawartość
Warianty tytułu
Estimation of Risk Neutral Measure for Polish Stock Market
Języki publikacji
PL
Abstrakty
W artykule prezentujemy zastosowanie szacowania miary martyngałowej dla indeksu WIG20 z Giełdy Papierów Wartościowych w Warszawie. Miarę martyngałową szacujemy na podstawie cen opcji na ten indeks. Przyjmujemy, że miara martyngałowa jest mieszaniną rozkładów logarytmiczno-normalnych, a parametry rozkładu szacujemy minimalizując sumę kwadratów błędów wyceny. Otrzymane wyniki porównujemy z modelem zakładającym rozkład logarytmiczno-normalny. Jak przykład rozważamy zmiany miary martyngałowej na początku marca 2014 r., po rozpoczęciu kryzysu na Krymie. (abstrakt oryginalny)
EN
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. (original abstract)
Twórcy
  • Uniwersytet Ekonomiczny w Poznaniu
Bibliografia
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Typ dokumentu
Bibliografia
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