Explaining asset pricing puzzles associated with the 1987 market crash
Year of publication: |
2010
|
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Authors: | Benzoni, Luca ; Collin-Dufresne, Pierre ; Goldstein, Robert S. |
Publisher: |
Chicago, IL : Federal Reserve Bank of Chicago |
Subject: | Börsenkrise | Capital Asset Pricing Model | Optionspreistheorie | Volatilität | Portfolio-Insurance | Theorie | USA | Volatility Smile | Volatility Smirk | Implied Volatility | Option Pricing | Portfolio Insurance | Market Risk |
Series: | Working Paper ; 2010-10 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 640010946 [GVK] hdl:10419/70565 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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