Is the Financial Market Risk-neutral -Empirical Research Based on the Implied Probability Distribution

被引：0
|
作者：
Xu Weicheng [1 ]
Li Xinpeng [1 ]
机构：
[1] Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China
来源：
STATISTIC APPLICATION IN MODERN SOCIETY | 2015年
关键词：
Risk-neutral; Implied probability distribution; Equivalent martingale measure; Option pricing;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Risk-neutral pricing theory is a powerful tool to solve the asset pricing problems in the financial market, but the theory is valid only when the financial market is risk-neutral. This paper takes the examples of stock market and stock option market, which are two important financial markets, to obtain the implied probability distribution via the risk-neutral pricing formula, and proposes a test method to verify whether the financial market is risk-neutral. As an application of this test method, this paper does empirical research on SSE 50 ETF market which is a emerging market in China.
引用
收藏
页码：665 / 673
页数：9
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