Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/rest.2010.11549
Reference45 articles.
1. Quadratic Term Structure Models: Theory and Evidence
2. Do option markets correctly price the probabilities of movement of the underlying asset?
3. Range-Based Estimation of Stochastic Volatility Models
4. An Empirical Investigation of Continuous-Time Equity Return Models
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