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Czasopismo
2014 | 10 | nr 2 | 28--37
Tytuł artykułu

Estimation of Risk Neutral Measure for Polish Stock Market

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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. (original abstract)
Czasopismo
Rocznik
Tom
10
Numer
Strony
28--37
Opis fizyczny
Twórcy
  • Poznań University of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
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