Title:

Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options

Authors:

Pedro Santa Clara (U Nova)
Shu Yan (U South Carolina)

Journal:

Review of Economics and Statistics

Year:

2010

Volume:

92

Pages:

435-451

JEL codes:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G13 - Contingent Pricing; Futures Pricing