The market for crash risk
type: Item
instance of: scholarly article
title: The market for crash risk
zbMATH Open document ID: 1181.91223
author: David S. Bates
publication date: 2010-01-19T00:00:00Z
Mathematics Subject Classification ID: 91B69
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G99
zbMATH DE Number: 5660285
zbMATH Keywords: stock index options
zbMATH Keywords: heterogeneous agents
zbMATH Keywords: dynamic equilibria
zbMATH Keywords: complete markets
MaRDI profile type: Publication
full work available at URL: j.jedc.2007.09.020
OpenAlex ID: W3122586954
cites work: Nonparametric risk management and implied risk aversion
cites work: Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
cites work: A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
cites work: Post-'87 crash fears in the S\&P 500 futures option market
cites work: The equilibrium allocation of diffusive and jump risks with heterogeneous agents
DOI: 10.1016/J.JEDC.2007.09.020
published in: Journal of Economic Dynamics and Control
Recommended article: On the market price of risk
Recommended article: Q5430722
Recommended article: Q4810086
Recommended article: Bubbles, crashes and risk
Recommended article: The value of knowing the market price of risk
Recommended article: Market Crashes and Informational Avalanches
Recommended article: Drawdowns and the speed of market crash
Recommended article: Critical market crashes
description: scientific article; zbMATH DE number 5660285