The market for crash risk
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Publication:844715
DOI10.1016/J.JEDC.2007.09.020zbMATH Open1181.91223OpenAlexW3122586954MaRDI QIDQ844715FDOQ844715
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.09.020
Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99) Heterogeneous agent models (91B69)
Cites Work
- Nonparametric risk management and implied risk aversion
- Post-'87 crash fears in the S\&P 500 futures option market
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
Cited In (17)
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Pricing vulnerable options with stochastic volatility
- Pricing of the time-change risks
- Tail risk aversion and backwardation of index futures
- The pricing kernel puzzle: survey and outlook
- Option implied ambiguity and its information content: evidence from the subprime crisis
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Dynamic safety first expected utility model
- Incomplete markets and derivative assets
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- Equilibrium open interest
- Investor heterogeneity, asset pricing and volatility dynamics
- Pricing vulnerable options with jump risk and liquidity risk
- Learning, confidence, and option prices
- EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
- Drawdowns and the speed of market crash
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