Option market trading activity and the estimation of the pricing kernel: a Bayesian approach (Q2173190)
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scientific article; zbMATH DE number 7191763
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| English | Option market trading activity and the estimation of the pricing kernel: a Bayesian approach |
scientific article; zbMATH DE number 7191763 |
Statements
Option market trading activity and the estimation of the pricing kernel: a Bayesian approach (English)
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22 April 2020
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pricing kernel
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pricing kernel puzzle
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physical measure
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Dirichlet process
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Bayesian nonparametric estimation
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options
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S\&P 500 index
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0.7839869260787964
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0.7729291319847107
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0.7496017217636108
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0.7478734850883484
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0.7436782717704773
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