文章基本信息

标题：Extraction of market expectations from risk-neutral density
本地全文：下载
作者：Arnerić, Josip ; Aljinović, Zdravka ; Poklepović, Tea 等
期刊名称：Zbornik radova Ekonomskog fakulteta u Rijeci, Časopis za ekonomsku teoriju praksu
印刷版ISSN：1331-8004
出版年度：2015
卷号：33
期号：2
页码：235-256
语种：English
出版社：University of Rijeka Faculty of Economics
摘要：The purpose of this paper is to investigate which of the proposed parametric models for extracting risk-neutral density; among Black-Scholes Merton, mixture of two log-normals and generalized beta; give the best fit. The model that fits sample data better is used to describe different characteristics (moments) of the ex ante probability distribution. The empirical findings indicate that no matter which parametric model is used, the best fit is always obtained for short maturity horizon, but when comparing models in short-run, the mixture of two log-normals gives statistically significant smaller MSE. According to the pair-wise comparison results, the basic conclusion is that the mixture of two log-normals is superior to the other parametric models and has proven to be very flexible in capturing commonly observed characteristics of the underlying financial assets, such as asymmetries and “fat-tails” in implied probability distribution.
关键词：Market expectation; risk-neutral density; mixture of log-normals; Black-Scholes Merton; generalized beta; maturity horizon; DAX index...