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. DOI https://doi.org/10.1080/13504850701222210
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. DOI https://doi.org/10.1080/13504850701222210
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. DOI https://doi.org/10.1080/13504850701222210
Abstract
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 |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 18 Dec 2012 14:34 |
| Last Modified: | 06 Jan 2022 14:36 |
| URI: | http://repository.essex.ac.uk/id/eprint/4783 |