The market for crash risk
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Publication:844715
DOI10.1016/j.jedc.2007.09.020zbMath1181.91223OpenAlexW3122586954MaRDI QIDQ844715
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& 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) Heterogeneous agent models (91B69) Actuarial science and mathematical finance (91G99)
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Cites Work
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- Nonparametric risk management and implied risk aversion
- Post-'87 crash fears in the S\&P 500 futures option market
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