FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2034241492> ?p ?o ?g. }

• W2034241492 endingPage "238" @default.
• W2034241492 startingPage "181" @default.
• W2034241492 abstract "Post-crash distributions inferred from S&P 500 future option prices have been strongly negatively skewed. This article examines two alternate explanations: stochastic volatility and jumps. The two option pricing models are nested, and are fitted to S&P 500 futures options data over 1988–1993. The stochastic volatility model requires extreme parameters (e.g., high volatility of volatility) that are implausible given the time series properties of option prices. The stochastic volatility/jump-diffusion model fits option prices better, and generates more plausible volatility process parameters. However, its implicit distributions are inconsistent with the absence of large stock index moves over 1988–93." @default.
• W2034241492 created "2016-06-24" @default.
• W2034241492 creator A5079225170 @default.
• W2034241492 date "2000-01-01" @default.
• W2034241492 modified "2023-10-10" @default.
• W2034241492 title "Post-'87 crash fears in the S&P 500 futures option market" @default.
• W2034241492 cites W1532522260 @default.
• W2034241492 cites W1533218937 @default.
• W2034241492 cites W1963570115 @default.
• W2034241492 cites W1963718895 @default.
• W2034241492 cites W1968898055 @default.
• W2034241492 cites W1975018809 @default.
• W2034241492 cites W1983056091 @default.
• W2034241492 cites W1983993360 @default.
• W2034241492 cites W1990664633 @default.
• W2034241492 cites W1997624033 @default.
• W2034241492 cites W1999814123 @default.
• W2034241492 cites W2000640623 @default.
• W2034241492 cites W2016541285 @default.
• W2034241492 cites W2022335606 @default.
• W2034241492 cites W2057450957 @default.
• W2034241492 cites W2064978316 @default.
• W2034241492 cites W2065574513 @default.
• W2034241492 cites W2070153718 @default.
• W2034241492 cites W2072041292 @default.
• W2034241492 cites W2077791698 @default.
• W2034241492 cites W2084445655 @default.
• W2034241492 cites W2090407512 @default.
• W2034241492 cites W2095543111 @default.
• W2034241492 cites W2097489895 @default.
• W2034241492 cites W2118288345 @default.
• W2034241492 cites W2118967710 @default.
• W2034241492 cites W2146848558 @default.
• W2034241492 cites W2151065060 @default.
• W2034241492 cites W2152554345 @default.
• W2034241492 cites W2179356764 @default.
• W2034241492 cites W3021444882 @default.
• W2034241492 cites W3121174621 @default.
• W2034241492 cites W3121766225 @default.
• W2034241492 cites W3122955062 @default.
• W2034241492 cites W3124075827 @default.
• W2034241492 cites W3124181023 @default.
• W2034241492 cites W3124475197 @default.
• W2034241492 cites W3125439131 @default.
• W2034241492 cites W4236751433 @default.
• W2034241492 cites W4238263089 @default.
• W2034241492 cites W4242566641 @default.
• W2034241492 cites W4250550220 @default.
• W2034241492 cites W4254957193 @default.
• W2034241492 cites W4255805110 @default.
• W2034241492 cites W4289256118 @default.
• W2034241492 doi "https://doi.org/10.1016/s0304-4076(99)00021-4" @default.
• W2034241492 hasPublicationYear "2000" @default.
• W2034241492 type Work @default.
• W2034241492 sameAs 2034241492 @default.
• W2034241492 citedByCount "1227" @default.
• W2034241492 countsByYear W20342414922012 @default.
• W2034241492 countsByYear W20342414922013 @default.
• W2034241492 countsByYear W20342414922014 @default.
• W2034241492 countsByYear W20342414922015 @default.
• W2034241492 countsByYear W20342414922016 @default.
• W2034241492 countsByYear W20342414922017 @default.
• W2034241492 countsByYear W20342414922018 @default.
• W2034241492 countsByYear W20342414922019 @default.
• W2034241492 countsByYear W20342414922020 @default.
• W2034241492 countsByYear W20342414922021 @default.
• W2034241492 countsByYear W20342414922022 @default.
• W2034241492 countsByYear W20342414922023 @default.
• W2034241492 crossrefType "journal-article" @default.
• W2034241492 hasAuthorship W2034241492A5079225170 @default.
• W2034241492 hasConcept C106159729 @default.
• W2034241492 hasConcept C106306483 @default.
• W2034241492 hasConcept C121332964 @default.
• W2034241492 hasConcept C13290067 @default.
• W2034241492 hasConcept C149782125 @default.
• W2034241492 hasConcept C162324750 @default.
• W2034241492 hasConcept C166957645 @default.
• W2034241492 hasConcept C183469790 @default.
• W2034241492 hasConcept C187625094 @default.
• W2034241492 hasConcept C194483076 @default.
• W2034241492 hasConcept C199360897 @default.
• W2034241492 hasConcept C205649164 @default.
• W2034241492 hasConcept C24189920 @default.
• W2034241492 hasConcept C2777209242 @default.
• W2034241492 hasConcept C2779343474 @default.
• W2034241492 hasConcept C2779664328 @default.
• W2034241492 hasConcept C2780299701 @default.
• W2034241492 hasConcept C2780695682 @default.
• W2034241492 hasConcept C41008148 @default.
• W2034241492 hasConcept C62520636 @default.
• W2034241492 hasConcept C85393063 @default.
• W2034241492 hasConcept C91602232 @default.
• W2034241492 hasConceptScore W2034241492C106159729 @default.
• W2034241492 hasConceptScore W2034241492C106306483 @default.
• W2034241492 hasConceptScore W2034241492C121332964 @default.
• W2034241492 hasConceptScore W2034241492C13290067 @default.
• W2034241492 hasConceptScore W2034241492C149782125 @default.
• W2034241492 hasConceptScore W2034241492C162324750 @default.

• next