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| Author: | Bates, D. S. |
| Title: | Post-'87 crash fears in the S&P 500 futures option market |
| Journal: | Journal of Econometrics
2000 : JAN-FEB, VOL. 94:1-2, p. 181-238 |
| Index terms: | ECONOMETRICS STOCK OPTIONS VOLATILITY STOCK MARKETS RISK |
| Language: | eng |
| Abstract: | This paper presents evidence that post-87 distributions implicit in S&P 500 futures options are strongly negatively skewed, and examines two compelling hypotheses: A stochastic volatility model with negative correlations between index and volatility shocks, and a stochastic volatility jump-diffusion model with time-varying jump risk. |
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