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The Crash of '87: Was it Expected? The Evidence from Options Markets

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  • David S. Bates

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  • David S. Bates, "undated". "The Crash of '87: Was it Expected? The Evidence from Options Markets," Rodney L. White Center for Financial Research Working Papers 28-90, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:28-90
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    Cited by:

    1. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
    2. M. A. Virasoro, 2011. "Non-Gaussianity of the Intraday Returns Distribution: its evolution in time," Papers 1112.0770, arXiv.org, revised Dec 2011.
    3. William R. Melick & Charles P. Thomas, 1992. "War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis," International Finance Discussion Papers 437, Board of Governors of the Federal Reserve System (U.S.).
    4. Michael P. Leahy & Charles P. Thomas, 1996. "The sovereignty option: the Quebec referendum and market views on the Canadian dollar," International Finance Discussion Papers 555, Board of Governors of the Federal Reserve System (U.S.).

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