ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET
Journal Title: e-Finanse - Year 2014, Vol 10, Issue 2
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.
Authors and Affiliations
Paweł Kliber
Keywords
Related Articles
- EP ID EP99851
- DOI -
- Views 163
- Downloads 0
Measurement of intellectual capital as exemplified by methods of groups based on the ROA indicator and on market capitalization
The concept of a knowledge-based economy is a relatively new topic, but it does not mean that the previous economies did not use knowledge. For many years, knowledge formed the basis of any economy, it was a factor that...
Financialization and the cultural attitude of Polish society towards the banking sector
The article is dedicated to changes in the cultural attitude of Polish society towards the banking sector under the conditions of progressing financialization and arising consequences for the banking sector. First of all...
IMPACT OF FOREIGN OWNERSHIP ON DIVIDEND POLICY IN POLAND
The article analyses the impact of foreign investors, who were the majority shareholders of companies on the Warsaw Stock Exchange, on dividend policy of these companies in the years 2004-2014. An evaluation of the direc...
Assessing the financial distress risk of companies operating under conditions of a negative cash conversion cycle
The purpose of the paper is to point out the accounting-based variables and relationships between them which enable us to measure financial liquidity in a way appropriate for assessing the financial distress risk of comp...
EXCHANGE TRADED COMMODITIES AS A CATEGORY OF INNOVATIVE PRODUCTS ON EUROPEAN FINANCIAL
The article presents the main features of one category of innovative financial products – exchange traded commodities (ETCs) and results of the analysis of the European market for ETCs. ETCs are products listed and trade...