ESTYMACJA MIARY MARTYNGAŁOWEJ NA PODSTAWIE CEN OPCJI Z GIEŁDY PAPIERÓW WARTOŚCIOWYCH W WARSZAWIE

• Authors: Paweł Kliber

Title variants

EN

ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET

• Languages of publication: PL

Abstracts

PL

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.

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.

Keywords

PL

wycena martyngałowa; rozkład prawdopodobieństwa implikowany przez ceny opcji; awersja do ryzyka; realna miara probabilistyczna; wykrywanie wydarzeń

EN

risk-neutral pricing; option-implied density; risk aversion; real-world measure; event study

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 4
• Pages: 37-51

Dates

published

2014

Contributors

author

Paweł Kliber

• Katedra Ekonomii Matematycznej, Uniwersytet Ekonomiczny w Poznaniu

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