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What Do Index Options Teach Us About COVID-19?
Risk-neutral distributions of the S&P 500 are informative about the COVID-19 pandemic beyond what one can learn from index values and the market fear gauge of the VIX alone. We learn that, on February 20, 2020, the index did not yet reflect the impending crisis. Only on March 16, 2020, was the f...
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| Publicado no: | Rev Asset Pricing Stud |
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| Autor principal: | |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Oxford University Press
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7454833/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/rapstu/raaa012 |
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