Empirical pricing kernels obtained from the UK index options market

Xiaoquan Liu; Mark Shackleton; Stephen Taylor; Xinzhong Xu

doi:10.1080/13504850701222210

Empirical pricing kernels obtained from the UK index options market

Xiaoquan Liu, Mark Shackleton, Stephen Taylor, Xinzhong Xu

Research output: Journal Publication › Article › peer-review

6 Citations (Scopus)

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.

Original language	English
Pages (from-to)	989-993
Number of pages	5
Journal	Applied Economics Letters
Volume	16
Issue number	10
DOIs	https://doi.org/10.1080/13504850701222210
Publication status	Published - 2009
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/13504850701222210

Cite this

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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.",

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AU - Xu, Xinzhong

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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.

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Empirical pricing kernels obtained from the UK index options market

Abstract

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