Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel …-neutral density is approximated by a weighted kernel density estimator with varying unknown weights for different observations, and … the subjective density is approximated by a kernel density estimator with equal weights. We represent the European call …