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ArticleMeasure preserving derivatives and the pricing kernel puzzle

Brendan K. Beare2011

Article2011

Measure preserving derivatives and the pricing kernel puzzle

Brendan K. Beare

44 citations·0/0 files stored·Journal of Mathematical Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1973A Theory of Marriage: Part I 2002Stochastic Finance: An Introduction in Discrete Time 1996Recovering Probability Distributions from Option Prices 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices 2000Recovering Risk Aversion from Option Prices and Realized Returns 2000Nonparametric risk management and implied risk aversion

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2017The pricing kernel puzzle in forward looking data

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2016The Pricing Kernel Puzzle: Survey and Outlookarticle · 14 shared references 2014An Empirical Test of Pricing Kernel Monotonicityarticle · 13 shared references 2009Monotonicity of the Stochastic Discount Factor and Expected Option Returnsarticle · 13 shared references 2012Three Solutions to the Pricing Kernel Puzzlearticle · 11 shared references 2017The pricing kernel puzzle in forward looking dataarticle · 10 shared references 2018Risk-Neutral Densities: A Reviewreview · 9 shared references

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Year2011

Typearticle

Published2011-09-30

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmateco.2011.09.005

openalex_workW1978225880

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