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Empirical pricing kernels obtained from the UK index options market

Research output: Working paper

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Empirical pricing kernels obtained from the UK index options market. / Liu, X; Shackleton, M B; Taylor, S J et al.

Lancaster University : The Department of Accounting and Finance, 2006. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Liu, X, Shackleton, MB, Taylor, SJ & Xu, X 2006 'Empirical pricing kernels obtained from the UK index options market' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Liu, X., Shackleton, M. B., Taylor, S. J., & Xu, X. (2006). Empirical pricing kernels obtained from the UK index options market. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Liu X, Shackleton MB, Taylor SJ, Xu X. Empirical pricing kernels obtained from the UK index options market. Lancaster University: The Department of Accounting and Finance. 2006. (Accounting and Finance Working Paper Series).

Author

Liu, X ; Shackleton, M B ; Taylor, S J et al. / Empirical pricing kernels obtained from the UK index options market. Lancaster University : The Department of Accounting and Finance, 2006. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{b659a6a05d734ab79f38ce3ad81a0d3d,
title = "Empirical pricing kernels obtained from the UK index options market",
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.",
keywords = "Pricing kernels, Risk-neutral densities, Index options, Risk aversion",
author = "X Liu and Shackleton, {M B} and Taylor, {S J} and X Xu",
year = "2006",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Empirical pricing kernels obtained from the UK index options market

AU - Liu, X

AU - Shackleton, M B

AU - Taylor, S J

AU - Xu, X

PY - 2006

Y1 - 2006

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.

KW - Pricing kernels

KW - Risk-neutral densities

KW - Index options

KW - Risk aversion

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Empirical pricing kernels obtained from the UK index options market

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -