English, Article edition: Empirical pricing kernels obtained from the UK index options market Xiaoquan Liu; Mark Shackleton; Stephen Taylor; ...

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Bookmark: http://trove.nla.gov.au/version/49368
Physical Description
  • article
Language
  • English

Edition details

Title
  • Empirical pricing kernels obtained from the UK index options market
Author
  • Xiaoquan Liu
  • Mark Shackleton
  • Stephen Taylor
  • Xinzhong Xu
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apeclt:v:16:y:2009:i:10:p:989-993
Language
  • English
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