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. ISSN 1350-4851

[img]
Preview
PDF (Empirical pricing kernels obtained from the UK index options market)
10.pdf - Submitted Version

Download (134kB)

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: Journal Article
Journal or Publication Title: Applied Economics Letters
Uncontrolled Keywords: /dk/atira/pure/researchoutput/libraryofcongress/hf5601
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 59098
Deposited By: ep_importer_pure
Deposited On: 10 Oct 2012 15:48
Refereed?: No
Published?: Published
Last Modified: 19 Jul 2019 23:41
URI: https://eprints.lancs.ac.uk/id/eprint/59098

Actions (login required)

View Item View Item