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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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.
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