The market for crash risk

DOI10.1016/J.JEDC.2007.09.020zbMATH Open1181.91223OpenAlexW3122586954MaRDI QIDQ844715FDOQ844715

Authors: David S. Bates 

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

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zbMATH Keywords

heterogeneous agentscomplete marketsdynamic equilibriastock index options

Mathematics Subject Classification ID

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 (22)

• Heterogeneity and option pricing
• 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
• Equilibrium asset and option pricing under jump diffusion
• 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 theory of stock market crashes
• Equilibrium open interest
• Amplification and asymmetry in crashes and frenzies
• Investor heterogeneity, asset pricing and volatility dynamics
• Pricing vulnerable options with jump risk and liquidity risk
• Learning, confidence, and option prices
• Instability of financial markets and preference heterogeneity
• Drawdowns and the speed of market crash
• Time-varying crash risk embedded in index options: the role of stock market liquidity

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