pricing kernels
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69

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Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Efficient Estimation of Pricing Kernels and Market-Implied Densities

SSRN Electronic Journal ◽

10.2139/ssrn.3853347 ◽

2021 ◽

Author(s):

Jeroen Dalderop

Keyword(s):

Efficient Estimation ◽

Pricing Kernels

Characteristics of Model-Free Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.3733838 ◽

2020 ◽

Author(s):

Maxim Ulrich ◽

Simon Walther

Keyword(s):

Model Free ◽

Pricing Kernels

VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels

The Journal of Derivatives ◽

10.3905/jod.2019.1.075 ◽

2019 ◽

Vol 27 (1) ◽

pp. 110-127 ◽

Cited By ~ 1

Author(s):

Xinglin Yang ◽

Peng Wang ◽

Ji Chen

Keyword(s):

Vix Futures ◽

Futures Pricing ◽

Pricing Kernels

The Expectations and Pricing Kernels

Principles of Financial Economics ◽

10.1017/cbo9781139162272.019 ◽

2018 ◽

pp. 195-206

Keyword(s):

Pricing Kernels

Consistent Valuation Across Curves Using Pricing Kernels

Risks ◽

10.3390/risks6010018 ◽

2018 ◽

Vol 6 (1) ◽

pp. 18 ◽

Cited By ~ 11

Author(s):

Andrea Macrina ◽

Obeid Mahomed

Keyword(s):

Pricing Kernels

The Market and Individual Pricing Kernels Under No Arbitrage Asset Pricing Models

New Methods in Fixed Income Modeling - Contributions to Management Science ◽

10.1007/978-3-319-95285-7_15 ◽

2018 ◽

pp. 263-297

Author(s):

Thomas F. Cosimano ◽

Jun Ma

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

No Arbitrage ◽

Asset Pricing Models ◽

Pricing Kernels

Consistent Valuation Across Curves Using Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.3102513 ◽

2018 ◽

Cited By ~ 1

Author(s):

Andrea Macrina ◽

Obeid Mahomed

Keyword(s):

Pricing Kernels

A dynamic equilibrium model for U-shaped pricing kernels

Quantitative Finance ◽

10.1080/14697688.2017.1388535 ◽

2017 ◽

Vol 18 (5) ◽

pp. 851-875 ◽

Cited By ~ 3

Author(s):

Akira Yamazaki

Keyword(s):

Equilibrium Model ◽

Dynamic Equilibrium ◽

Dynamic Equilibrium Model ◽

Pricing Kernels

Economic Implications of Nonlinear Pricing Kernels

Management Science ◽

10.1287/mnsc.2016.2498 ◽

2017 ◽

Vol 63 (10) ◽

pp. 3361-3380 ◽

Cited By ~ 25

Author(s):

Caio Almeida ◽

René Garcia

Keyword(s):

Nonlinear Pricing ◽

Economic Implications ◽

Pricing Kernels

Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*

The Review of Asset Pricing Studies ◽

10.1093/rapstu/rax021 ◽

2017 ◽

Vol 8 (2) ◽

pp. 183-231 ◽

Cited By ~ 8

Author(s):

Kadir Babaoğlu ◽

Peter Christoffersen ◽

Steven Heston ◽

Kris Jacobs

Keyword(s):

Option Valuation ◽

Fat Tails ◽

Pricing Kernels