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Applied Economics Letters Volume 16, 2009 - Issue 10
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Original Articles

Empirical pricing kernels obtained from the UK index options market

Xiaoquan Liu School of Accounting, Finance and Management, University of Essex, Colchester, CO4 3SQ, UKCorrespondence[email protected]
,
Mark B. Shackleton Department of Accounting and Finance, University of Lancaster, Lancaster, LA1 4YX, UK
,
Stephen J. Taylor Department of Accounting and Finance, University of Lancaster, Lancaster, LA1 4YX, UK
&
Xinzhong Xu Guanghua Management School, Peking Univeristy, P. R. China and Cardiff Business School, Cardiff, UK
Pages 989-993 | Published online: 24 Jun 2009

Citations (12)

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Xiaoquan Liu, Jing-Ming Kuo & Jerry Coakley. (2015) A pricing kernel approach to valuing options on interest rate futures. The European Journal of Finance 21:2, pages 93-110.
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Jun Sik Kim, Hyeyoen Kim & Doojin Ryu. (2014) ELW pricing kernel and empirical risk aversion. Applied Economics Letters 21:5, pages 372-376.
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Articles from other publishers (10)

Paolo Guasoni & Andrea Meireles‐Rodrigues. (2023) Reference dependence and endogenous anchors. Mathematical Finance.
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Giovanni Barone-Adesi, Nicola Fusari, Antonietta Mira & Carlo Sala. (2020) Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. Journal of Econometrics 216:2, pages 430-449.
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Horatio Cuesdeanu & Jens Carsten Jackwerth. (2017) The pricing kernel puzzle: survey and outlook. Annals of Finance 14:3, pages 289-329.
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Doojin RyuJangkoo Kang & Sangwon Suh. (2015) Implied Pricing Kernels: An Alternative Approach for Option Valuation. Journal of Futures Markets 35:2, pages 127-147.
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Paolo Guasoni & Andrea Meireles-Rodrigues. (2020) Reference Dependence: Endogenous Anchors and Life-Cycle Investing. SSRN Electronic Journal.
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Tobias Sichert. (2018) Structural Breaks in the Variance Process and the Pricing Kernel Puzzle. SSRN Electronic Journal.
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Horatio Cuesdeanu & Jens Carsten Jackwerth. (2016) The Pricing Kernel Puzzle: Survey and Outlook. SSRN Electronic Journal.
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Carlo Sala, Giovanni Barone-Adesi & Antonietta Mira. (2017) The Impact of Misalignment of Beliefs on the Estimation of the Pricing Kernel. SSRN Electronic Journal.
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Marie-Hélène Gagnon & Gabriel J. Power. (2012) Rare Events and Investor Risk Aversion: Evidence from Crude Oil Options. SSRN Electronic Journal.
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Xiaoquan Liu, Jerry Coakley & Jing-Ming Kuo. (2011) A Pricing Kernel Approach to Valuing Options on Interest Rate Futures. SSRN Electronic Journal.
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