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The Crash of '87: Was it Expected? The Evidence from Options Markets

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  • David S. Bates

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  • David S. Bates, "undated". "The Crash of '87: Was it Expected? The Evidence from Options Markets," Rodney L. White Center for Financial Research Working Papers 28-90, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:28-90
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    Cited by:

    1. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
    2. Michael P. Leahy & Charles P. Thomas, 1996. "The sovereignty option: the Quebec referendum and market views on the Canadian dollar," International Finance Discussion Papers 555, Board of Governors of the Federal Reserve System (U.S.).
    3. M. A. Virasoro, 2011. "Non-Gaussianity of the Intraday Returns Distribution: its evolution in time," Papers 1112.0770, arXiv.org, revised Dec 2011.
    4. William R. Melick & Charles P. Thomas, 1992. "War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis," International Finance Discussion Papers 437, Board of Governors of the Federal Reserve System (U.S.).

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