Sökning: "Misha Wolynski"

Hittade 2 uppsatser innehållade orden Misha Wolynski.

  1. 1. RND estimation stability with respect to methodology : A study on the EURO STOXX 50 index around the September 2008 stock market crash

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Misha Wolynski; [2013]
    Nyckelord :;

    Sammanfattning : The aim of this study is to investigate whether implied RND functions are stable with respect to the choice of estimation methodology and whether the stability is affected by the stock market crash of September 15 2008. In order to do so, I estimate RND functions for the EURO STOXX 50 equity index using two different methods, namely the fully parametric two-lognormal method and a curve-fitting method based on the approach proposed by Shimko (1993). LÄS MER

  3. 2. Risk neutral densities and the September 2008 stock market crash: A study on European data

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Misha Wolynski; Martin Theimer; [2011]
    Nyckelord :Risk neutral density RND ; Implied volatility; September 2008 stock market crash; Late-2000s financial crisis;

    Sammanfattning : In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. LÄS MER