proanarisПроблемы анализа рискаIssues of Risk Analysis1812-52202658-7882ФГБУ ВНИИ ГОЧС (ФЦ)proanaris-808Research ArticleРЫНОЧНЫЙ РИСКMARKET RISKКалибровка распределения SU-Джонсона будущей цены базового актива на основе цен опционовCalibration of Johnson-SU Distribution of Future Price of Underlying Asset Based on Option PricesАрбузовП. А.ArbuzovP. A.

Арбузов Петр Андреевич, аспирант кафедры исследования операций

119991, г. Москва, Ленинские горы, д. 1

Peter A. Arbuzov

Leninskie Gory, 1, Moscow, 119991

arbuzov.parb@gmail.comhttps://orcid.org/0000-0002-1848-5988ГолембиовскийД. Ю.GolembiovskyD. Yu.

Голембиовский Дмитрий Юрьевич, доктор технических наук, профессор кафедры исследования операций

119991, г. Москва, Ленинские горы, д. 1

ResearcherID: H‑5898-2013

Dmitry Yu. Golembiovsky

Leninskie Gory, 1, Moscow, 119991

dgolembiovskiy@yandex.ruМосковский государственный университет имени М.В. ЛомоносоваРоссияLomonosov Moscow State UniversityRussian Federation2024240420242127893Copyright © Арбузов П.А., Голембиовский Д.Ю., 20242024Арбузов П.А., Голембиовский Д.Ю.Arbuzov P.A., Golembiovsky D.Y.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.risk-journal.com/jour/article/view/808

Исследование посвящено прогнозированию базового актива опционов на основе их рыночных котировок. Рыночные цены опционов отражают ожидания участников торгов о будущей динамике базового актива. В статье рассмотрено, как от реальных цен опционов перейти к вероятностному распределению будущей цены базового актива, а также приведены статистические исследования точности полученных распределений.

The study focuses on forecasting the underlying asset of options based on their market quotes. Market prices of options reflect the expectations of traders about future dynamics of the underlying asset. The paper considers how to transition from real option prices to a probability distribution of the future price of the underlying asset and provides statistical studies of the accuracy of the obtained distributions.

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The authors declare that there are no conflicts of interest present.