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

Author:

Bates David S.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference61 articles.

1. Nonparametric estimation of state-price densities implicit in financial asset prices;Aı̈t-Sahalia;Journal of Finance,1998

2. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

3. Efficient analytic approximation of American option values;Barone-Adesi;Journal of Finance,1987

4. The crash of '87;Bates;Journal of Finance,1991

5. Dollar jump fears, 1984-1992;Bates;Journal of International Money and Finance,1996

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