Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008-Reference-Cited by-同舟云学术

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Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Birru Justin,Figlewski Stephen

Publisher

Elsevier BV

Reference35 articles.

1. Testing the Forecasting Performance of Ibex 35 Option-Implied Risk-Neutral Densities;Francisco Alonso;Working Paper Series,2005

2. Modeling and Forecasting Realized Volatility;T Andersen;Econometrica,2003

3. The Crash of '87: Was it Expected? The Evidence from Options Markets;D Bates;Journal of Finance,1991

4. Post-'87 Crash Fears in the S&P 500 Futures Option Market;D Bates;Journal of Econometrics,2000

5. Volatility Prediction During Prolonged Crises: Evidence from Korean Index Options;Ghurmeet S Bhabra;Pacific-Basin Finance Journal,2001

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

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2. Assessing Models of Individual Equity Option Prices;SSRN Electronic Journal;2012

3. Investor Sentiment and Value and Growth Index Options;SSRN Electronic Journal;2011

4. Exchange Rate Market Expectations and Central Bank Policy: The Case of the Mexican Peso-US Dollar from 2005-2009;SSRN Electronic Journal;2011

5. Estimating the Tail Shape Parameter from Option Prices;SSRN Electronic Journal;2011

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