Returns of claims on the upside and the viability of U-shaped pricing kernels

By Gurdip Bakshi, Dilip B Madan 5, George Panayotov. 2010

184 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c0c7449d5cf71e117cf7bf793fa2579d89f7b60c

Citations in the corpus

• The Skew Risk Premium in the Equity Index Market (2013, unknown): “Bakshi et al. (2010) show that there are also negative returns from holding high strike calls and digitals, and interpret this as evidence for a U-shaped pricing kernel.”
• A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “Bakshi et al. (2010) document the U-shape for the volatility pricing kernel indirectly, by exploring the link between the monotonicity of the pricing kernel and returns of VIX option portfolios.”