Disasters implied by equity index options
收藏NBER2009-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15240
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资源简介：
We use prices of equity index options to quantify the impact of extreme events on asset returns. We define extreme events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants: skewness, kurtosis, and so on. We show that high-order
提供机构：
美国国家经济研究局
创建时间：
2009-08-01
