Blar i NHH Brage på forfatter "Andersen, Caroline Marie"
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Investor expectations and the covid-19 stock market crash. What can we learn from index options? : a replicating study of David Bates’ The Crash of ’87 : was it expected? : the evidence from options markets.
Andersen, Caroline Marie; Risvik, Maren (Master thesis, 2020)We investigate the transaction prices of SPX options on the S&P 500 Composite Index over the years 2018 to 2020, to examine whether there can be shown evidence of expectations of a market crash before February 20, 2020. ...