Empirical pricing kernels obtained from the UK index options market

Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market.

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Year of publication:	2009
Authors:	Liu, Xiaoquan ; Shackleton, Mark ; Taylor, Stephen ; Xu, Xinzhong
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 10, p. 989-993
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966499