A Macrofinance Model for Option Prices: A Story of Rare Economic Events

The authors thank the department editor, the associate editor, two anonymous referees, Giovanni Barone-Adesi, Antoine Bommier, Patrick Cheridito, Antonio Cosma, Christian Dorion, Diogo Duarte, Brice Dupoyet, Mathieu Fournier, Francesco Franzoni, Laurent Fresard, Hans Gersbach, Peter Gruber, Xiaoquan Jiang, Michael Johannes (discussant), Qiang Kang, Mariana Khapko, Jun Li, Lauriano Mancini, Roberto Marfe, Piotr Orlowski, Chayawat Ornthanalai, Alberto Plazzi, Michael Rebello, Florent Rouxelin, Paul Schneider, Sang Byung Seo (discussant), Anders Trolle, and Harold Zhang as well as seminar participants at the 2019 Canadian Derivatives Institute Conference, 2019 European Finance Association Conference, 2019 HEC-McGill Summer Workshop, Swiss Federal Institute of Technology in Zürich, Florida International University, University of Lugano, and University of St.-Gallen for their valuable comments. They thank Ella D.S. Patelli and Arnaud Wolf for excellent research assistance.