Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - National Bureau of Economic Research (NBER) - 2005
Prior to the stock market crash of 1987, Black-Scholes implied volatilities of S&P 500 index options were relatively constant across moneyness. Since the crash, however, deep out-of-the-money S&P 500 put options have become %u2018expensive%u2019 relative to the Black-Scholes benchmark. Many...