Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008
Year of publication: |
2012
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Authors: | Birru, Justin ; Figlewski, Stephen |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 15.2012, 2, p. 151-180
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Subject: | Risk neutral density | Implied probabilities | Stock index options | 2008 financial crisis | Finanzkrise | Financial crisis | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Index-Futures | Index futures | Volatilität | Volatility |
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