The pricing kernel puzzle in forward looking data

DOI10.1007/S11147-017-9140-8MaRDI QIDQ1710579zbMATH OpenOpenAlexFDO

Authors Horatio Cuesdeanu, Jens Carsten Jackwerth

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

forward looking dataoption pricingpricing kernel

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A practical guide to splines
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Measure preserving derivatives and the pricing kernel puzzle
• Nonparametric risk management and implied risk aversion
• Nonparametric tests of density ratio ordering
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Testing monotonicity of pricing kernels
• The pricing kernel puzzle: survey and outlook

Cited in

(19)

• Empirical reverse engineering of the pricing kernel.
• Testing monotonicity of pricing kernels
• The pricing kernel puzzle: survey and outlook
• The forward premium puzzle in a model of imperfect information
• Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
• Functional Ross recovery: theoretical results and empirical tests
• Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
• Three solutions to the pricing kernel puzzle
• The shape of small sample biases in pricing kernel estimations
• Reference-dependent preferences and the empirical pricing kernel puzzle
• Forward Prices in Markets Driven by Continuous-time Autoregressive Processes
• Estimating time-varying risk aversion from option prices and realized returns
• Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
• Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
• Measure preserving derivatives and the pricing kernel puzzle
• The forward discount puzzle and market efficiency
• Estimating a conditional density ratio model for asset returns and option demand
• A note on Stein's overreaction puzzle
• A tale of two option markets: pricing kernels and volatility risk

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