Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options

Alcock, Jamie; Smith, Godfrey

doi:10.2139/ssrn.2136964

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Assumptions Restricting the Functional Form Of The Pricing K1

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“…Thus, the method will not detect the pricing kernel puzzle, even if it were present in the data, unless a large cross section of option prices is used as reference assets. Extensions of Stutzer (1996) can be found in Alcock and Smith (2014) who implement additional (restrictive) changes of measure based on Haley and Walker (2010).…”

Section: Assumptions Restricting the Functional Form Of The Pricing Kmentioning

confidence: 99%