Post-'87 crash fears in the S&P 500 futures option market

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 fitted to S&P 500 futures options data over 1988–1993...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Journal of econometrics 2000, Vol.94 (1), p.181-238
1. Verfasser:	Bates, David S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometric models Econometrics Financial crisis Financial speculation Futures Indexes Jump-diffusions Mathematical economics Options markets Options on stocks Securities issues Securities prices Specification error Stochastic models Stochastic volatility Stock exchange Stock index futures Stock index options Stock market crash Stock market crashes Studies Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!