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 161
- Downloads 0
CONTROL PREMIUM AND MINORITY DISCOUNTS IN POLISH BUSINESS VALUATION PRACTICES – EVIDENCE FROM RESEARCH
The paper presents the results of a survey of business valuation practice in Poland. The aim of this study was to assess the premium for control as well as discounts for minority interests by practitioners involved in th...
The impact of the tax system structure on the narrowing of income disparities in OECD countries
Social disparities have a common and consistent character in the vast majority of contemporary countries. The level of income inequality in OECD countries has grown in the past 30 years and is still rising. Taxes and tax...
CHALLENGES FOR CENTRAL BANKS IN A CHANGING PAYMENTS LANDSCAPE
The aim of the paper is to discuss key challenges facing central banks due to evolution of payment systems. The author distinguishes two aspects of the problem. The first one considers the implications of changes in paym...
CORPORATE BOND MARKET OF REAL ESTATE DEVELOPMENT COMPANIES IN POLAND
The aim of the article examines the features that determine the attractivenessof bonds as a financing instrument for real estate development projects in Poland, and the share of debt securities and bonds in the financing...
ANALYSIS OF THE PRIVATIZATION PROCESS IN POLAND IN THE YEARS 2008-2011 – OUTCOMES AND PROSPECTS
The paper focuses on the analysis of the privatization process conducted in the years 2008-2011 with an attempt to show a broad picture of privatization in Poland, indicate resources that still exist although hidden and...