NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Disasters implied by equity index options

David Backus, Mikhail Chernov, Ian Martin

NBER Working Paper No. 15240
Issued in August 2009

---- Acknowledgements -----

We thank Michael Brandt, Rodrigo Guimaraes, Sydney Ludvigson, Monika Piazzesi, Romeo Tedongap, Mike Woodford, and Liuren Wu, as well as participants in seminars at the Bank of England, the CEPR symposium on financial markets, the London Business School, the London School of Economics, the NBER summer institute, New York University, SIFR, and the financial econometrics conference in Toulouse. We also thank Mark Broadie for sharing his option pricing code and Vadim Zhitomirsky for research assistance. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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