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Research output: Working paper
Research output: Working paper
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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 -