Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity*

DOI10.1093/ROF/RFAA040zbMath1471.91564OpenAlexW3122674308MaRDI QIDQ5157709

Chayawat Ornthanalai, Yoontae Jeon, Peter Christoffersen, Bruno Feunou

Publication date: 19 October 2021

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfaa040

zbMATH Keywords

filteringmarket liquidityjump intensityoption-implied crash risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Tail index estimation in the presence of covariates: stock returns' tail risk dynamics ⋮ Implied volatility surfaces: a comprehensive analysis using half a billion option prices ⋮ Pricing vulnerable fader options under stochastic volatility models

This page was built for publication: Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity*