Liu, X and Shackleton, M B and Taylor, S J and Xu, X (2006) Empirical pricing kernels obtained from the UK index options market. Working Paper. The Department of Accounting and Finance, Lancaster University.
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:
Monograph
(Working Paper)
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
?? pricing kernelsrisk-neutral densitiesindex optionsrisk aversiondiscipline-based research ??
Departments:
ID Code:
48869
Deposited By:
Deposited On:
11 Jul 2011 21:17
Refereed?:
No
Published?:
Published
Last Modified:
31 Aug 2024 00:43