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

Journal of Econometrics

Volumn 94, Issue 1-2, 2000, Pages 181-238

  Bates, David S ^a,b  

^a UNIVERSITY OF IOWA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Jump diffusions; Specification error; Stochastic volatility; Stock index options; Stock market crash

Indexed keywords

EID: 0000833419     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00021-4     Document Type: Article

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