We characterize when physical probabilities, marginal utilities, and the discount rate can be
recovered from observed state prices for several future time periods. We make no …

Starting with the fundamental relation that state prices are the product of physical
probabilities and the stochastic discount factor, Ross (2015) shows that, given strong …

Building on the method of Ludwig (2015) to construct robust state price density surfaces from
snapshots of option prices, we develop a nonparametric estimation strategy based on the …

Building on the method of Ludwig (2015) to construct robust state price density surfaces from
snapshots of option prices, we develop a nonparametric estimation strategy for the recovery …

How reliable is the recovery theorem of? We explore this question in the context of options
on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the …

We can only estimate the distribution of stock returns, but from option prices we observe the
distribution of state prices. State prices are the product of risk aversion—the pricing kernel …

We analyze the problem of recovering the pricing kernel and real probability distribution
from observed option prices, when the state variable is an unbounded diffusion process. We …

We use purely statistical methods to determine if the pricing kernel is the intertemporal
marginal rate of substitution under recursive utility. We introduce a nonparametric Bayesian …

Under mild assumptions, we recover the model‐free conditional minimum variance
projection of the pricing kernel on various tradeable realized moments of market returns …

The fact that supply and demand fluctuations have longmemory, which was independently
discovered by Lillo and Farmer (2004) and Bouchaud et al.(2004), raises an apparent …