Research

P. Santa-Clara and S. Yan: Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options

May 1, 2008

P. Santa-Clara and S. Yan, “Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options,” (Working paper, Universidade Nova de Lisboa and University of South Carolina, May 2008).