Showing 1 - 10 of 30
Persistent link: https://www.econbiz.de/10011814247
Persistent link: https://www.econbiz.de/10012055741
We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...
Persistent link: https://www.econbiz.de/10011506354
The Black-Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel with at least two parameters. We price European-style options on assets whose probability distributions have...
Persistent link: https://www.econbiz.de/10009471773
Based on a general specification of the asset speci?c pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong...
Persistent link: https://www.econbiz.de/10010266929
Persistent link: https://www.econbiz.de/10005016334
Persistent link: https://www.econbiz.de/10005809712
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....
Persistent link: https://www.econbiz.de/10010275866
Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates of marginal pricing kernels of the market return and...
Persistent link: https://www.econbiz.de/10010886219
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....
Persistent link: https://www.econbiz.de/10005207934