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Conference Proceedings (1996), Proceedings of 13th International Conference of the French Finance Association, Association Française de Finance (AFFI), pp. 1-40

Winning in the Best and Worst of Times : Boom and Crash Options

This paper introduces two new financial derivatives : boom options and crash options. These options are designed to protect investors' portfolios, during periods of extreme volatility, against a sharp, major decline in the value of a short or long position. Boom and crash options provide an insurance against rare events like stock market booms and crashes.

LONGIN, F. (1996). Winning in the Best and Worst of Times : Boom and Crash Options. In: Proceedings of 13th International Conference of the French Finance Association. Association Française de Finance (AFFI), pp. 1-40.