To explain observed index-option prices since 1988 thus requires the artificial addition to the actual price record of crashes of almost 1987's severity more frequent than one every four years, when "even a 20% [one month] crash every eight years seems to be a rather pessimistic outlook" (Jackwerth 2000, p. 447). (Between 1802 and 1988 there were only seven calendar months in which the U.S. stock market fell by more than 20 percent [Schwert 1990, p. 80, table 1].) "The most likely explanation," Jackwerth concludes (2000, p. 450), "is mispricing of options in the market."

Donald MacKenzie, An Engine, Not a Camera, loc. 913