An earlier version of this study was presented at the 6th Conference of Asia-Pacific Association of Derivatives (APAD 2010) and at the 2011 KFA-TFA Joint Conference in Finance, which was held in the National Taiwan University. This paper is an extended version of the last chapter of Ryu's doctoral dissertation. The authors are grateful for the helpful comments and suggestions from an anonymous referee, Youngsoo Choi (the discussant), Biao Guo, Mehmet H. Bilgin, Qian Han, Jun Sik Kim, Sol Kim, Byungsun Min, Sun-Joong Yoon, Meng-Lan Yueh (the discussant), and Robert I. Webb (the editor).
Implied Pricing Kernels: An Alternative Approach for Option Valuation
Article first published online: 8 APR 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 35, Issue 2, pages 127–147, February 2015
How to Cite
Ryu, D., Kang, J. and Suh, S. (2015), Implied Pricing Kernels: An Alternative Approach for Option Valuation. J. Fut. Mark., 35: 127–147. doi: 10.1002/fut.21618
- Issue published online: 6 JAN 2015
- Article first published online: 8 APR 2013
- Manuscript Accepted: 17 FEB 2013
- Manuscript Received: 15 APR 2012
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