Bitcoin Pricing Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences. Thus, the PKs improve the understanding of investor...

In this master thesis a mechanism to test mononicity of empirical pricing kernels (EPK) is presented. By testing monotonicity of pricing kernel we can determine whether utility function is concave or not. Strictly decreasing pricing kernel corresponds to concave utility function while...

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Building on the results of Ludwig (2012), we propose a method to construct robust time-homogeneous Markov chains that capture the risk-neutral transition of state prices from current snapshots of option prices on the S&P 500 index. Using the recovery theorem of Ross (2013), we then derive the...

The behaviour of market agents has been extensively covered in the literature. Risk averse behaviour, described by Von Neumann and Morgenstern (Theory of games and economic behavior. Princeton University Press, Princeton, <CitationRef CitationID="CR16">1944</CitationRef>) via a concave utility function, is considered to be a cornerstone...</citationref>

Information about risk preferences from investors is essential for modelling a wide range of quantitative finance applications. Valuable information related to preferences can be extracted from option prices through pricing kernels. In this paper, pricing kernels and their term structure are...

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...