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Empirical pricing kernels obtained from the UK index options market

Shackleton, Mark and Liu, Helena and Taylor, Stephen and Xu, Gary (2009) Empirical pricing kernels obtained from the UK index options market. Applied Economics Letters, 16 (10). pp. 989-993.

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    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
    Journal or Publication Title: Applied Economics Letters
    Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
    Departments: Lancaster University Management School > Accounting & Finance
    ID Code: 59098
    Deposited By: ep_importer_pure
    Deposited On: 10 Oct 2012 16:48
    Refereed?: No
    Published?: Published
    Last Modified: 10 Apr 2014 02:42
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/59098

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