Did option traders anticipate the crash? evidence from volatility smiles in the U.K. with U.S. comparisons

Journal of Futures Markets

Volumn 16, Issue 8, 1996, Pages 881-897

  Gemmill, Gordon ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030503346     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199612)16:8<881::aid-fut3>3.3.co;2-s     Document Type: Article

References (16)

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3. Bates, D. S. (1995): "Post-'87 Crash Fears in S&P 500 Futures Options," Working Paper, Wharton School, University of Pennsylvania.
4. Beinert, M., and Trautmann, S. (1993): "Verlaufsmuster der impliziten Aktienvolatilität," Working Paper, University of Mainz.
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10. Dupire, B. (1994, Jan.): "Pricing with a Smile," Risk, 7:18-20.
11. Fleming, J. (1993): "The Quality of Market Forecasts Implied by S&P 100 Index Option Prices," Working Paper, Fuqa School, Duke University.
12. Franks, J. R., and Schwartz, E. S. (1988): "The Stochastic Behaviour of Market Variance Implied in the Prices of Index Options," Economic Journal, 101:1460-1475.
13. Gemmill, G. (1991): "Using Options' Prices to Reveal Traders' Expectations," Working Paper, City University Business School, London.
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16. Kamara, A., and Miller, T. W. Jr. (1995): "Daily and Intra-Daily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, 30:519-539.