Risk neutral densities and the September 2008 stock market crash Misha Wolynski and Martin Theimer

In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. For our estimated Это и многое другое вы найдете в книге Risk neutral densities and the September 2008 stock market crash (Misha Wolynski and Martin Theimer)