Home > Research > Publications & Outputs > Empirical pricing kernels obtained from the UK ...

Electronic data

View graph of relations

Empirical pricing kernels obtained from the UK index options market

Research output: Working paper

Published
NullPointerException

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.