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Post-'87 crash fears in the S&P 500 futures option market

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  • Bates, David S.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(99)00021-4
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 94 (2000)
    Issue (Month): 1-2 ()
    Pages: 181-238

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    Handle: RePEc:eee:econom:v:94:y:2000:i:1-2:p:181-238
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    2. Galai, Dan, 1983. "The Components of the Return from Hedging Options against Stocks," The Journal of Business, University of Chicago Press, vol. 56(1), pages 45-54, January.
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    4. Paul A. Ruud., 1988. "Extensions of Estimation Methods Using the EM Algorithm.," Economics Working Papers 8899, University of California at Berkeley.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    6. Stein, Jeremy, 1989. " Overreactions in the Options Market," Journal of Finance, American Finance Association, vol. 44(4), pages 1011-1023, September.
    7. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    8. John H. Cochrane & Jesús Saá-Requejo, 1998. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," CRSP working papers 430, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    9. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1998. "Implied Volatility Functions: Empirical Tests," Journal of Finance, American Finance Association, vol. 53(6), pages 2059-2106, December.
    10. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84.
    11. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
    12. Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 659-681.
    13. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1997. "Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance," NBER Working Papers 5976, National Bureau of Economic Research, Inc.
    14. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    15. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    16. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    17. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    18. Gordon Gemmill, 1996. "Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(8), pages 881-897, December.
    19. Merville, Larry J. & Pieptea, Dan R., 1989. "Stock-price volatility, mean-reverting diffusion, and noise," Journal of Financial Economics, Elsevier, vol. 24(1), pages 193-214, September.
    20. Mohammed M. Chaudhury & Jason Wei, 1994. "Upper bounds for american futures options: A note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(1), pages 111-116, 02.
    21. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    22. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04.
    23. Schmalensee, Richard & Trippi, Robert R, 1978. "Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance, American Finance Association, vol. 33(1), pages 129-147, March.
    24. Rubinstein, Mark, 1983. " Displaced Diffusion Option Pricing," Journal of Finance, American Finance Association, vol. 38(1), pages 213-217, March.
    25. Saikat Nandi, 1996. "Pricing and hedging index options under stochastic volatility: an empirical examination," FRB Atlanta Working Paper 96-9, Federal Reserve Bank of Atlanta.
    26. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
    27. Xu, Xinzhong & Taylor, Stephen J., 1994. "The Term Structure of Volatility Implied by Foreign Exchange Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 57-74, March.
    28. Jacklin, Charles J & Kleidon, Allan W & Pfleiderer, Paul, 1992. "Underestimation of Portfolio Insurance and the Crash of October 1987," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 35-63.
    29. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    30. Elvira Maria de Sousa Silva & Kandice H. Kahl, 1993. "Reliability of soybean and corn option‐based probability assessments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(7), pages 765-779, October.
    31. George, Thomas J. & Longstaff, Francis A., 1993. "Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(03), pages 381-397, September.
    32. Franks, Julian R & Schwartz, Eduardo S, 1991. "The Stochastic Behaviour of Market Variance Implied in the Prices of Index Options," Economic Journal, Royal Economic Society, vol. 101(409), pages 1460-75, November.
    33. Whaley, Robert E, 1986. " Valuation of American Futures Options: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 41(1), pages 127-150, March.
    34. Paul L. Fackler & Robert P. King, 1990. "Calibration of Option-Based Probability Assessments in Agricultural Commodity Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 73-83.
    35. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    36. Grossman, Sanford J & Zhou, Zhongquan, 1996. " Equilibrium Analysis of Portfolio Insurance," Journal of Finance, American Finance Association, vol. 51(4), pages 1379-1403, September.
    37. Fernando Diz & Thomas J. Finucane, 1993. "Do the options markets really overreact?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 299-312, 05.
    38. Sanford J. Grossman, 1987. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," NBER Working Papers 2357, National Bureau of Economic Research, Inc.
    39. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
    40. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
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