Information about price and volatility jumps inferred from options prices
High-frequency jump tests are applied to the prices of both futures contracts and their options, to infer the properties of jumps in the price and volatility of the underlying asset. Empirical results for FTSE 100 contracts detect frequent jumps in futures, call, and put prices. Jumps in futures pri...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley-Liss Inc.
2018
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| Online Access: | View Fulltext in Publisher |