Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/17579
Título: Recovering implied risk neutral density and risk aversion from options : based on DJX around the collapse of Lehman Brother
Autor: LI, Xiaojie
Orientador: Huang, James
Palavras-chave: Risk neutral density
Real world density
Risk aversion
Data de Defesa: 8-Jul-2013
Resumo: In this study, we compare the quality and information content of risk neutral densities obtained by various parametric methods, namely mixture of two lognormals, generalized beta distribution of the second, polynomial lognormal based on Hermite expansion and implied volatility function. The author first applies those models on option based on the Dow Jones Industrial Average (DJIA), known as DJX, for two dates around a release of important news. Each model gives similar result. Then risk aversion is estimated according to RNDs (MLN) by adopting utility transformation method to adjust RNDs and maximum likelihood function to estimate the value. Result shows RND seems to overestimate the price of underlying asset.
URI: http://hdl.handle.net/10400.14/17579
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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