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Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons

1996; Wiley; Volume: 16; Issue: 8 Linguagem: Inglês

10.1002/(sici)1096-9934(199612)16

1096-9934

Gordon Gemmill,

Market Dynamics and Volatility

Journal of Futures MarketsVolume 16, Issue 8 p. 881-897 Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons Gordon Gemmill, Corresponding Author Gordon Gemmill City University Business School, Frobisher Crescent Barbican Centre, London EC2Y 8HB, EnglandCity University Business School, Frobisher Crescent Barbican Centre, London EC2Y 8HB, EnglandSearch for more papers by this author Gordon Gemmill, Corresponding Author Gordon Gemmill City University Business School, Frobisher Crescent Barbican Centre, London EC2Y 8HB, EnglandCity University Business School, Frobisher Crescent Barbican Centre, London EC2Y 8HB, EnglandSearch for more papers by this author First published: December 1996 https://doi.org/10.1002/(SICI)1096-9934(199612)16:8 3.0.CO;2-ICitations: 33AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume16, Issue8December 1996Pages 881-897 RelatedInformation