Empirical pricing kernels obtained from the UK index options market

Xiaoquan Liu, Mark Shackleton, Stephen Taylor, Xinzhong Xu

Research output: Journal PublicationArticlepeer-review

6 Citations (Scopus)


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 languageEnglish
Pages (from-to)989-993
Number of pages5
JournalApplied Economics Letters
Issue number10
Publication statusPublished - 2009
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics


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