Exploiting Crashophobia: A Study on Abnormally Steep Volatility Skews on American Equity Options in Declining Markets

Author/​Artist
Gonzalez-Quintanilla, Fernando C. [Browse]
Format
Senior thesis
Language
English
Description
44 Pages

Details

Advisor(s)
Rudloff, Birgit [Browse]
Department
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Class year
2008
Restrictions note
This thesis can be viewed in person at the Mudd Manuscript Library. To order a copy complete the Senior Thesis Request Form. For more information contact mudd@princeton.edu.

Supplementary Information