The Supply and Demand of S&P 500 Put Options
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https://www.nber.org/papers/w21161
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资源简介：
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk-neutral variance, contrary to the implications of a broad class of no-arbitrage models. The key to the puzzle lies in recognizing that, as the disaster risk increases, customers demand
提供机构：
美国国家经济研究局
创建时间：
2015-05-01
