Measure preserving derivatives and the pricing kernel puzzle

DOI10.1016/j.jmateco.2011.09.005zbMath1231.91424OpenAlexW1978225880MaRDI QIDQ660096

Brendan K. Beare

Publication date: 25 January 2012

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2011.09.005

zbMATH Keywords

Littlewood inequalityHardypayoff distribution pricing modelpricing kernel puzzleRyff's decomposition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Option augmented density forecasts of market returns with monotone pricing kernel ⋮ Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ The pricing kernel puzzle: survey and outlook ⋮ Option market trading activity and the estimation of the pricing kernel: a Bayesian approach ⋮ Optimal measure preserving derivatives revisited ⋮ SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION ⋮ The pricing kernel puzzle in forward looking data ⋮ Risk Arbitrage Opportunities for Stock Index Options ⋮ Optimal portfolios under worst-case scenarios ⋮ NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING

Uses Software

• Ox

Cites Work

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• Co-monotonicity of optimal investments and the design of structured financial products
• Nonparametric risk management and implied risk aversion
• Rearrangement inequalities in non-convex insurance models
• Measure preserving transformations and rearrangements
• Stochastic finance. An introduction in discrete time

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