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15-002/IV - Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets


  • Authors
    Daniël Linders, KU Leuven, Leuven, Belgium; Jan Dhaene, KU Leuven, Leuven, Belgium; Wim Schoutens, KU Leuven, Leuven, Belgium
  • Publication date
    January 6, 2015
  • Keywords
    comonotonicity, herd behavior, HIX, index options, market fear, Model-free measures, VIX
  • JEL
    G13, G14