Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009
premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q … study of the skewness premium of deepest out-of-the-money options about two months prior to the crash …We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness …