The Supply and Demand of S&P 500 Put Options
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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
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美国国家经济研究局创建时间：
2015-05-01
