Post-'87 Crash Fears in S&P 500 Futures Options

This paper shows that post-crash implicit distributions have been strongly negatively skewed, and examines two competing explanations: stochastic volatility models with negative correlations between market levels and volatilities, and negative-mean jump models with time-varying jump frequencies. The

本文表明，崩盘后的隐含分布（implicit distributions）呈现显著负偏，并考察了两种竞争性解释：一种是市场水平与波动率之间存在负相关性的随机波动率模型（stochastic volatility models），另一种是具有时变跳跃频率的负均值跳跃模型（negative-mean jump models）。