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5. Empirical Pricing Kernel:A Revisit

Empirical Pricing Kernel:A Revisit

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：jeanlife

【摘 要】

：

　　We revisit the empirical pricing kernels(EPK)estimated from index option and index prices.Using a much longer sample,we find that the EPKs consistently demo

【作 者】

：

Xie Jinming Li Duan 

【机 构】

：

The Chinese Univ.of Hong Kong

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We revisit the empirical pricing kernels(EPK)estimated from index option and index prices.Using a much longer sample,we find that the EPKs consistently demonstrate oscillating patterns.

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