Jacklin, Charles J; Kleidon, Allan W; Pfleiderer, Paul - In: Review of Financial Studies 5 (1992) 1, pp. 35-63
The authors examine market crashes in the multiperiod framework of Glosten and Milgrom (1985). Their analysis shows that if the market's prior beliefs underestimate the extent of dynamic hedging strategies such as portfolio insurance, then the price will be greater than that which would be...