kathy sham2020-10-04 16:15:02
kathy sham76 b can u explain why answer B is incorrect in detail?
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Crystal2020-10-04 18:27:32
Crystal这句话是没有错的，但是他描述的不是崩盘恐惧症。
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So what is 崩盤恐慌means ? Does it related to volatility smile? Can u explain in detail in Chinese
呀2020-10-09 14:37:13
呀It´s said in the official textbooks：
Crashophobia
It is interesting that the pattern in Figure 15.3 for equities has existed only since the stock market crash of October 1987. Prior to October 1987, implied volatilities were much less dependent on strike price. This has led Mark Rubinstein to suggest that one reason for the equity volatility smile may be "crashophobia." Traders are concerned about the possibility of another crash similar to October 1987, and they price options accordingly. There is some empirical support for this explanation. Declines in the S&P 500 tend to be accompanied by a steepening of the volatility skew. When the S&P increases, the skew tends to become less steep.
It mainly refers to the 1987 U.S. stock market crash and then the whole world was affected.
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