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