Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Giovanni Barone-Adesi, Nicola Fusari, Antonietta Mira, Carlo Sala
| Year of publication: |
2020
|
|---|---|
| Authors: | Barone-Adesi, Giovanni ; Fusari, Nicola ; Mira, Antonietta ; Sala, Carlo |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 216.2020, 2, p. 430-449
|
| Subject: | Bayesian nonparametric estimation | Dirichlet process | Options | Physical measure | Pricing kernel | Pricing kernel puzzle | S&P 500 index | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | CAPM | Nichtparametrische Schätzung | Nonparametric estimation | Handelsvolumen der Börse | Trading volume |