The pricing kernel puzzle in forward looking data

DOI10.1007/s11147-017-9140-8zbMath1405.91605OpenAlexW3125772292MaRDI QIDQ1710579

Jens Carsten Jackwerth, Horatio Cuesdeanu

Publication date: 23 January 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-2-11k3n4zxe7ti61

zbMATH Keywords

option pricingpricing kernelforward looking data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Estimating time-varying risk aversion from option prices and realized returns ⋮ Functional Ross recovery: theoretical results and empirical tests

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Measure preserving derivatives and the pricing kernel puzzle
• A practical guide to splines
• Testing monotonicity of pricing kernels
• The pricing kernel puzzle: survey and outlook
• Nonparametric risk management and implied risk aversion
• NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING
• Strictly Proper Scoring Rules, Prediction, and Estimation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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