Crash of '87 — Was it expected?
نویسندگان
چکیده
Available online 12 September 2009 We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our findings indicate that the October 19th, 1987 crash was predictable from the study of the skewness premium of deepest out-of-the-money options about two months prior to the crash. © 2009 Elsevier B.V. All rights reserved. JEL classification:
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