Estimación de densidades de probabilidades neutrales al riesgo a partir de cadenas de opciones sobre AstraZeneca
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Universidad Torcuato Di Tella
Abstract
La función de Densidad Neutral al Riesgo (DNR) es un concepto fundamental en las
finanzas en la valuación de derivados financieros. La estimación de la DNR sigue siendo
un desafío matemático y computacional debido a las limitaciones de los datos
financieros disponibles y las restricciones requeridas por los métodos disponibles. En la
literatura y en la industria se utilizan tanto métodos paramétricos como no paramétricos
para estimar la DNR a partir de los precios de las opciones. En este trabajo proponemos
y estudiamos ambos tipos de métodos para investigar el contenido informativo de las
DNR sobre opciones financieras europeas de la empresa AstraZeneca, una de las
empresas farmacéuticas que desarrolló una vacuna contra la COVID-19. El uso de las
DNR estimadas en torno a episodios de noticias financieras por la fabricación de las
vacunas, interrupciones en la fabricación o el suministro de las mismas y datos efectos
positivos o adversos para la salud humana de la vacuna, nos permitió explorar y conocer
en qué medida los agentes que negocian estas opciones financieras en el mercado
anticipan los eventos en relación a sus creencias temporales o permanentes al negociar
este derivado financiero.
The Risk Neutral Density (DNR) function is a fundamental concept in finance in the valuation of financial derivatives. Estimating the DNR remains a mathematical and computational challenge due to the limitations of the available financial data and the constraints required by the available methods. Both parametric and nonparametric methods are used in the literature and industry to estimate DNR from option prices. In this paper we propose and study both types of methods to investigate the informational content of the DNRs on European financial options of the company AstraZeneca, one of the pharmaceutical companies that developed a vaccine against COVID-19. The use of estimated DNRs around financial news episodes due to the manufacture of vaccines, interruptions in the manufacture or supply of the same and data, positive or adverse effects on human health of the vaccine, allowed us to explore and know in to what extent the agents who trade these financial options in the market anticipate events in relation to their temporary or permanent beliefs when trading this financial derivative.
The Risk Neutral Density (DNR) function is a fundamental concept in finance in the valuation of financial derivatives. Estimating the DNR remains a mathematical and computational challenge due to the limitations of the available financial data and the constraints required by the available methods. Both parametric and nonparametric methods are used in the literature and industry to estimate DNR from option prices. In this paper we propose and study both types of methods to investigate the informational content of the DNRs on European financial options of the company AstraZeneca, one of the pharmaceutical companies that developed a vaccine against COVID-19. The use of estimated DNRs around financial news episodes due to the manufacture of vaccines, interruptions in the manufacture or supply of the same and data, positive or adverse effects on human health of the vaccine, allowed us to explore and know in to what extent the agents who trade these financial options in the market anticipate events in relation to their temporary or permanent beliefs when trading this financial derivative.
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Finanzas, Predicción tecnológica