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主题:【原创】港股中国石化认购权证全面研究 -- 陈经

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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 pattern in Figure 15.3 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 crashophobia. Whenever the market declines (increases), there is a tendency for the skew to become more (less) pronounced.

From P335, Options, Futures and other derivatives, By John C. Hull

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