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Empirical pricing kernels obtained from the UK index options market

Research output: Contribution to specialist publicationLetter

Publication date2009
Number of pages5
JournalApplied Economics Letters
Issue number10
Original languageEnglish


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.