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  • Information about price and volatility jumps 2018 for Pure

    Rights statement: This is the peer reviewed version of the following article:Taylor SJ, Tzeng C‐F, Widdicks M. Information about price and volatility jumps inferred from options prices. J Futures Markets. 2018;38:1206–1226. https://doi.org/10.1002/fut.21914 which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/fut.21914 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.

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    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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Information about price and volatility jumps inferred from options prices

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
<mark>Journal publication date</mark>10/2018
<mark>Journal</mark>Journal of Futures Markets
Issue number10
Volume38
Number of pages21
Pages (from-to)1206-1226
Publication StatusPublished
Early online date25/03/18
<mark>Original language</mark>English

Abstract

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 prices are more important than any jumps in volatility when the market determines option prices. The empirical evidence is consistent with futures prices following affine jump‐diffusion processes, containing either futures price jumps or contemporaneous futures price, and volatility jumps, providing jump risk premia are included in the price dynamics.

Bibliographic note

This is the peer reviewed version of the following article:Taylor SJ, Tzeng C‐F, Widdicks M. Information about price and volatility jumps inferred from options prices. J Futures Markets. 2018;38:1206–1226. https://doi.org/10.1002/fut.21914 which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/fut.21914 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.