Empirical pricing kernels obtained from the UK index options market
- Liu, Xiaoquan
- Shackleton, Mark B.
- Taylor, Stephen J.
- Xu, Xinzhong
Publication date
January 2009
DOI Publisher
applied economics letters ISSN
1350-4851 Journal
issn:1466-4291 Citation count (estimate)
7Abstract
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.EconomicsSSCI3ARTICLE10989-9931
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