Empirical pricing kernels obtained from the UK index options market

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.

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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:
Monograph (Working Paper)
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
48869
Deposited By:
Deposited On:
11 Jul 2011 21:17
Refereed?:
No
Published?:
Published
Last Modified:
30 May 2020 08:18