会议专题

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

  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.

Risk-neutral Implied probability distribution Equivalent martingale measure Option pricing

XU Weicheng LI Xinpeng

Institute for Financial Studies,Shandong University,P.R.China,250100

国际会议

The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

山东 日照

英文

434-442

2015-08-17(万方平台首次上网日期,不代表论文的发表时间)