Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options
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https://www.nber.org/papers/w11861
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资源简介：
Prior to the stock market crash of 1987, Black-Scholes implied volatilities of S&P 500 index options were relatively constant across moneyness. Since the crash, however, deep out-of-the-money S&P 500 put options have become 'expensive' relative to the Black-Scholes benchmark. Many researchers (e.g.,
提供机构：
美国国家经济研究局
创建时间：
2005-12-01
