2 edition of Post-"87 crash fears in S&P 500 futures options found in the catalog.
Post-"87 crash fears in S&P 500 futures options
David S. Bates
|Statement||David S. Bates.|
|Series||NBER working paper series -- working paper 5894, Working paper series (National Bureau of Economic Research) -- working paper no. 5894.|
|Contributions||National Bureau of Economic Research.|
|LC Classifications||HB1 .W654 no. 5894|
|The Physical Object|
|Pagination||54,  p. :|
|Number of Pages||54|
Bates, David S., a, Post-'87 Crash fears in S&P futures option, Working paper, Wharton School, University of Pennsylvania. Bates, David S. , Testing option pricing models, Working paper , National Bureau of Economic Research. Financial statement comparability and expected crash risk Author’s Accepted Manuscript Financial Statement Comparability and Expected Crash Risk Jeong .
Bates, David, , Post-'87 Crash fears in S&P futures options, Journal of Econometr Brandt, Michael, and Pedro Santa-Clara, , Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets, Journal of . As writers noted this week, there were post-’87 crash economic depression worries. In hindsight, those fears were misplaced. Excesses had not progressed over years to the point of causing deep financial and economic structural maladjustment. Looking back today, was much more the beginning of a secular financial boom rather than the end.
In the first essay, I empirically investigate the effect of financial frictions and exogenous demand pressure on both prices and returns of options. Historically, observed option returns have been a challenge for no-arbitrage asset pricing models, most notably in the case of out-of-the-money equity index puts. I propose that liquidation risk, defined as the possibility of forced selling of. on the S&P cash index. We expect this resistance to turn back the advance for at least a re-test of the lows. In fact, we may see a trading range develop between for a week or so here, to work off the oversold condition. However, a strong break above and we.
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Get this from a library. Post-'87 crash fears in S & P futures options. [David S Bates; National Bureau of Economic Research.]. David S. Bates, "Post-'87 Crash Fears in S&P Futures Options," NBER Working PapersNational Bureau of Economic Research, Inc.
Handle: RePEc:nbr:nberwo Note: APCited by: Get this from a library. Post-'87 crash fears in S & P futures options.
[David Scott Bates; National Bureau of Economic Research.] -- Abstract: This paper shows that post-crash implicit distributions have been strongly negatively skewed, and examines two competing explanations: stochastic volatility models with. Post'87 Crash Fears in the S&P Futures Option Market Article in Journal of Econometrics 94() January with 91 Reads How we measure 'reads'.
Post-'87 crash fears in the S&P futures option market. Author & abstract Abstract. No abstract is available for this item. Suggested Citation.
Bates, David S., "Post-'87 crash fears in the S&P futures option market," Journal of Robert E, "Valuation of American Futures Options: Theory and Empirical Tests," Journal of. Post-crash distributions inferred from S&P future option prices have been strongly negatively skewed.
This article examines two alternate explanations: stochastic volatility and jumps. "Post-'87 Crash Fears in the S&P Futures Option Market," Journal of Econometrics /2, January/February"Financial Markets' Assessments of EMU," Carnegie-Rochester Conference Series on Public Policy,December Post-'87 Crash Fears in S&P Futures Options By David S.
BatesCited by: 1. The key object of our analysis is probability distribution of future P&L conditioned on the present value of the underlying. We consider time dynamics of this probability distribution for an arbitrary hedging strategy.
Post-'87 Crash Fears in S&P Futures Options. Cited by: 8. Using S&P option prices, we then compare the pricing and hedging performance of this model with that of three existing ones that respectively allow for (i) constant volatility and constant interest rates (the Black–Scholes), (ii) constant volatility but stochastic interest rates, and (iii) stochastic volatility but constant interest by: Post-'87 Crash Fears in S&P Futures Options By David S.
BatesCited by: BATES, D.S. (): Post-’87 crash fears in the S&P futures option market. Journal of Econometr zbMATH CrossRef MathSciNet Google ScholarCited by: 2. Bates, D.S. Post-’87 Crash fears in S&P futures options. Finance Dept., College of Business Administration, University of Iowa: Iowa City, IA ; June [Google Scholar] Ben-Tal, A.
The entropy penalty approach to stochastic programming. Mathematics of Operational Research10 (2), – [Google Scholar]Cited by: The implied volatility index (VIX) is the trade mark of Chicago board options exchange (CBOE), introduced inand further modified in The new methodology is model-free forward-looking based on S&P index options, and it is the markets' expectation of the future market volatility over 30 day horizon (Whaley,Whaley, Cited by: 8.
Linking variance swaps to firm size/book-to-market, and stock turnover characteristics, an investor gains access to several lucrative long-short strategies with Sharpe Ratios around Third, principal component analysis reveals at most one important factor driving both stock and variance swap returns, which corresponds to the traditional Cited by: 7.
Bates, Post-'87 crash fears in the S & P futures option market, J. Econometrics, 94 (), doi: /S(99) Google Scholar  L. Blenman and S. Clark, Power exchange options, Finance Research Letters, 2 (), Author: Puneet Pasricha, Anubha Goel. Bates () Post-’87 crash fears in the S&P futures option market, Journal of Econometrics 94 (1), – Crossref, Google Scholar G.
Bekaert & M. Hoerova () The VIX, the variance premium and stock market volatility, Journal of Econometrics (2), –Author: José Afonso Faias, Tiago Castel-Branco. Recently, Paper  proposed a model-free index of investor panic based on futures prices and S&P index options.
In the supplemental work by [ 18 ], they provided empirical evidence that the jump risk component of the variance risk premium is a strong predictor of future market returns. In comparison, the S&P jump volatility not only has a larger impact on credit spreads -- a one percentage point increase raises spreads about basis points, but also has the highest forecasting power -- with R s of 65% for the AAA bond spread and 72% for the BAA bond spread.
The close association between credit risk premium and. The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's index option data.
The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high exposure to innovations in implied market skewness exhibit low returns on average. The results are. vai al contenuto della pagina vai al menu di navigazione. Search Search Close.Bates, D.
S.,“Post-’87 crash fears in the S&P futures option market”, Journal of Econometr Pan, J.,“The jump-risk premia implicit in options: Evidence from an integrated.As noted by Masson and Perrakis (), smile has been observed in recent years in options on the most widely used stock market index, the S&P Recent evidence from the S&P market is provided, for example, by Bakshi, Cao, and Chen (), Corrado and Su (), Jackwerth and Rubinstein (), and Rubinstein ().Cited by: