專題演講 主講人：Professor Wolfgang Karl Härdle
題 目：Pricing kernels are often non-monotone
主講人：Professor Wolfgang Karl Härdle
Blockchain Research Center Humboldt-Universität zu Berlin; Charles University; National Yang Ming Chiao Tung University; Asian Competitiveness Institute; Academy of Economic Studies, Bucharest
時 間：113年11月26日(星期二)上午10:10-11:00地 點：綜合一館427室
摘 要
The "pricing kernel puzzle", which challenges finance principles, has attracted attention in nonparametric pricing kernel estimation. Linn et al. (2018) developed forward-looking estimators with B-spline smoothing to produce theoretically consistent, monotonically decreasing kernels. However, our findings show equivalence between B-spline and kernel smoothing methods based on the identical risk-neutral densities calculating based on their method and traditional ones. We further find that the new method fails to get monotonic pricing kernel when volatility jumps happen or in crypto options market. Our findings suggest that behavioral or economic factors, rather than estimation flaws, may drive the puzzle.