Crash-o-phobia: A domestic fear or a worldwide concern?

Journal of Derivatives

Volumn 13, Issue 2, 2005, Pages 8-21

  Foresi, Silverio ^a   Wu, Liuren ^b  

^a Goldman Sachs Group   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77952668628     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2005.605352     Document Type: Article

References (34)

1. Aït-Sahalia, Y., and A. Lo. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices." Journal of Finance, 53(1998), pp. 499-547.
2. Andersen, T. G., L. Benzoni, and J. Lund. "An Empirical Investigation of Continuous-Time Equity Return Models." Journal of Finance, 57(2002), pp. 1239-1284.
3. Backus, D., S. Foresi, and L. Wu. "Accounting for Biases in Black-Scholes." Working paper, New York University, 1997.
4. Bakshi, G., C. Cao, and Z. Chen. "Empirical Performance of Alternative Option Pricing Models." Journal of Finance, 52(1997), pp. 2003-2049.
5. Bakshi, G., P. Carr, and L. Wu. "Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies." Working paper, University of Maryland, New York University, and Baruch College, 2005.
6. Barndorff-Nielsen, O. E. "Processes of Normal Inverse Gaussian Type." Finance and Stochastics, 2(1998), pp. 41-68.
7. Bates, D. "The Crash of 87: Was It Expected? The Evidence from Option Markets." Journal of Finance, 46(1991), pp. 1009-1044.
8. -. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options." Review of Financial Studies, 9(1996), pp. 69-107.
9. -. "Post-'87 Crash Fears in the S&P 500 Futures Option Market." Journal of Econometrics, 94(2000), pp. 181-238.
10. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81(1973), pp. 637-654.
11. Bliss, R. R., and N. Panigirtzoglou. "Option-Implied Risk Aversion Estimates." Journal of Finance, 59(2004), pp. 407-446.
12. Carr, P., H. Geman, D. Madan, and M. Yor. "The Fine Structure of Asset Returns: An Empirical Investigation. " Journal of Business, 75(2002), pp. 305-332.
13. Carr, P., and L. Wu. "Static Hedging of Standard Options." Working paper, Bloomberg and Baruch College, 2002.
14. -. "Finite Moment Log Stable Process and Option Pricing." Journal of Finance, 58(2003), pp. 753-777.
15. Connor, G., and R. A. Korajczyk. "A Test for the Number of Factors in an Approximate Factor Model." Journal of Finance, 48(1993), pp. 1263-1291.
16. Duffie, D., J. Pan, and K. Singleton. "Transform Analysis and Asset Pricing for Affine Jump Diffusions." Econometrica, 68(2000), pp. 1343-1376.
17. Eberlein, E., U. Keller, and K. Prause. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model." Journal of Business, 71(1998), pp. 371-406.
18. Engle, R. F., and J. V. Rosenberg. "Empirical Pricing Kernels." Journal of Financial Economics, 64(2002), pp. 341-372.
19. Eraker, B. "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices." Journal of Finance, 59(2004), pp. 1367-1404
20. Eraker, B., M. Johannes, and N. Polson. "The Impact of Jumps in Equity Index Volatility and Returns." Journal of Finance, 58(2003), pp. 1269-1300.
21. Figlewski, S., and S. Freund. "The Pricing of Convexity Risk and Time Decay in Options Markets." Journal of Banking and Finance, 18(1994), pp. 73-91.
22. Green, T. C., and S. Figlewski. "Market Risk and Model Risk for a Financial Institution Writing Options." Journal of Finance, 54(1999), pp. 1465-1499.
23. Heston, S. "Closed-Form Solution for Options with Stochastic Volatility, with Application to Bond and Currency Options." Review of Financial Studies, 6(1993a), pp. 327-343.
24. -. "Invisible Parameters in Option Prices." Journal of Finance, 48(1993b), pp. 933-947.
25. Huang, J., and L. Wu. "Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes." Journal of Finance, 59(2004), pp. 1405-1440.
26. Hull, J., and A. White. "The Pricing of Options on Assets with Stochastic Volatilities." Journal of Finance, 42(1987), pp. 281-300.
27. Jackwerth, J. C. "Recovering Risk Aversion from Option Prices and Realized Returns." Review of Financial Studies, 13(2000), pp. 433-451.
28. Jackwerth, J. C., and M. Rubinstein. "Recovering Probability Distributions from Contemporary Security Prices." Journal of Finance, 51(1996), pp. 347-369.
29. Madan, D., and F. Milne. "Option Pricing with VG Martingale Components." Mathematical Finance, 1(1991), pp. 39-56.
30. Madan, D. B., P. P. Carr, and E. C. Chang. "The Variance Gamma Process and Option Pricing." European Finance Review, 2(1998), pp. 79-105.
31. Merton, R. C. "Option Pricing When Underlying Stock Returns Are Discontinuous." Journal of Financial Economics, 3(1976), pp. 125-144.
32. Pan, J. "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study." Journal of Financial Economics, 63(2002), pp. 3-50.
33. Rubinstein, M. "Implied Binomial Trees." Journal of Finance, 49(1994), pp. 771-818.
34. Wu, L. "Dampened Power Law: Reconciling the Tail Behavior of Finanical Asset Returns." Journal of Business, 79 (2006).