articleTop 1% cited
Post-'87 crash fears in the S&P 500 futures option market
Journal of Econometrics · 2000 · Vol. 94(1-2) · pp. 181–238
David S. Bates✉(University of Iowa)
Stochastic processes and financial applicationsFinancial Risk and Volatility ModelingInsurance, Mortality, Demography, Risk ManagementFutures contractStochastic volatilityVolatility (finance)EconometricsValuation of optionsImplied volatilityEconomicsVolatility smileStock market crashCrash
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