We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel …-neutral density is approximated by a weighted kernel density estimator with varying unknown weights for di erent observations, and the … subjective density is approximated by a kernel density estimator with equal weights. We represent the European call option price …

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels …

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels …