Explaining asset pricing puzzles associated with the 1987 market crash

Journal of Financial Economics

Volumn 101, Issue 3, 2011, Pages 552-573

  Benzoni, Luca ^a   Collin Dufresne, Pierre ^b,d   Goldstein, Robert S ^c,d  

^a FEDERAL RESERVE BANK OF CHICAGO   (United States)

^b Columbia Business School ^*  (United States)

^c UNIVERSITY OF MINNESOTA   (United States)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Implied volatility; Option pricing; Portfolio insurance; Volatility smile; Volatility smirk

Indexed keywords

EID: 79960397006     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2011.01.008     Document Type: Article

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