U.S. stock market crash risk, 1926-2010

Journal of Financial Economics

Volumn 105, Issue 2, 2012, Pages 229-259

  Bates, David S ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

L vy processes; Option pricing; Stock market crashes; Time changed L vy processes

Indexed keywords

EID: 84861932156     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2012.03.004     Document Type: Article

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