Post-crash distributions inferred from S&P 500 future option prices have been strongly negatively skewed. This article examines two alternate explanations: stochastic volatility and jumps. The two option pricing models are nested, and are "tted to S&P 500 futures options data over 1988}1993. The sto
Post-'87 crash fears in the S&P 500 futures option market
β Scribed by David S. Bates
- Book ID
- 108432801
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 483 KB
- Volume
- 94
- Category
- Article
- ISSN
- 0304-4076
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