NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Option Prices in a Model with Stochastic Disaster Risk

Sang Byung Seo, Jessica A. Wachter

NBER Working Paper No. 19611
Issued in November 2013, Revised in August 2015

---- Acknowledgments ----

We thank Hui Chen, Domenico Cuoco, Mikhail Chernov, Xavier Gabaix, Ivan Shaliastovich, Viktor Todorov and seminar participants at the 2013 NBER Summer Institute, Carnegie Mellon University, Cornell University and the Wharton school for helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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