Search Results - subject:"Pricing Kernel Puzzle"

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Option augmented density forecasts of market returns with monotone pricing kernel

Beare, Brendan K.; Dossani, Asad - In: Quantitative finance 18 (2018) 4, pp. 623-635

Persistent link: https://www.econbiz.de/10011906445

The pricing kernel puzzle : survey and outlook

Cuesdeanu, Horatio; Jackwerth, Jens Carsten - In: Annals of finance 14 (2018) 3, pp. 289-329

Persistent link: https://www.econbiz.de/10012019345

A Bayesian estimate of the Pricing Kernel

Barone-Adesi, Giovanni; Legnazzi, Chiara; Mira, Antonietta - 2016

The article presents a Bayesian nonparametric approach to model the Pricing Kernel (PK), defined as the present value of the ratio between the risk neutral density, q, and a modified physical density, p*. The risk neutral density is estimated from option data and the modified physical density is...

Persistent link: https://www.econbiz.de/10011515905

Dynamics of risk attitudes

Grith, Maria - 2013

Persistent link: https://www.econbiz.de/10010256438

Measure preserving derivatives and the pricing kernel puzzle

Beare, Brendan K. - In: Journal of Mathematical Economics 47 (2011) 6, pp. 689-697

. This phenomenon is known as the pricing kernel puzzle. The payoff distribution pricing model of Dybvig predicts that the … to the pricing kernel puzzle. …

Persistent link: https://www.econbiz.de/10010875258

Three Solutions to the Pricing Kernel Puzzle

HENS, Thorsten; REICHLIN, Christian - 2010

The pricing kernel puzzle is the observation that the pricing kernel might be increasing in some range of the market … solutions for the pricing kernel puzzle. We construct examples to illustrate the three explana- tions. We verify the robustness …

Persistent link: https://www.econbiz.de/10008922918