The Crash of '87: Was It Expected? The Evidence from Options Markets

Transactions prices of S&P 500 futures options over 1985-1987 are examined for evidence of expectations prior to October 1987 of an impending stock market crash. First, it is shown that out-of-the-money puts became unusually expensive during the year preceding the crash. Second, a model is deriv...

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Bibliographische Detailangaben

Veröffentlicht in:	The Journal of finance (New York) 1991-07, Vol.46 (3), p.1009-1044
1. Verfasser:	BATES, DAVID S.
Format:	Artikel
Sprache:	eng
Schlagworte:	American option Brownian motion Call options Market prices Options on stocks Price volatility Skewed distribution Standard error Stock markets Stock prices Strike prices
Online-Zugang:	Volltext
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