Submitted manuscript, 132 KB, PDF document
Research output: Contribution to specialist publication › Letter
Research output: Contribution to specialist publication › Letter
}
TY - GEN
T1 - Empirical pricing kernels obtained from the UK index options market
AU - Shackleton, Mark
AU - Liu, Helena
AU - Taylor, Stephen
AU - Xu, Gary
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
U2 - 10.1080/13504850701222210
DO - 10.1080/13504850701222210
M3 - Letter
VL - 16
SP - 989
EP - 993
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
ER -