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The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory

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1960Theory of Value: An Axiomatic Analysis of Economic Equilibrium1,773 cited

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2014An Empirical Test of Pricing Kernel Monotonicity66 cited
2016The Pricing Kernel Puzzle: Survey and Outlook62 cited
2015Learning, confidence, and option prices62 cited
2012Three Solutions to the Pricing Kernel Puzzle57 cited
2017Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*53 cited
2009Monotonicity of the Stochastic Discount Factor and Expected Option Returns46 cited
2011Measure preserving derivatives and the pricing kernel puzzle44 cited
2005Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options42 cited
2017The pricing kernel puzzle in forward looking data38 cited
2003A Portfolio Perspective on Option Pricing Anomalies37 cited
2014Optimal Payoffs under State-dependent Preferences33 cited
2011Nonparametric Estimation of Risk-Neutral Densities28 cited
2014Uniform Confidence Bands for Pricing Kernels28 cited
2008Mispricing of S&P 500 Index Options26 cited