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Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan and Shackleton, Mark B and Taylor, Stephen J and Xu, Xinzhong (2009) 'Empirical pricing kernels obtained from the UK index options market.' Applied Economics Letters, 16 (10). pp. 989-993. ISSN 1350-4851

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Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Depositing User: Jim Jamieson
Date Deposited: 18 Dec 2012 14:34
Last Modified: 18 Dec 2012 14:34

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