Estimation of Risk Neutral Measure for Polish Stock Market

Paweł Kliber

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.
Author Paweł Kliber (WIiGE / KE)
Paweł Kliber,,
- Department of Econometrics
Journal seriesE-Finanse, ISSN 1734-039X, (B 14 pkt)
Issue year2014
Vol10
No2
Pages28-37
Publication size in sheets0.5
Keywords in Englishrisk-neutral pricing, option-implied density, risk aversion, real-world measure, event study
URL https://e-finanse.com/archives/?number=37&id=70
Languageen angielski
Score (nominal)14
Score sourcejournalList
ScoreMinisterial score = 9.0, 16-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 14.0, 16-12-2019, ArticleFromJournal
Citation count*1 (2020-07-26)
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