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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Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Information about price and volatility jumps inferred from options prices
AU - Taylor, Stephen John
AU - Tzeng, Joseph
AU - Widdicks, Martin
N1 - 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.
PY - 2018/10
Y1 - 2018/10
N2 - 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.
AB - 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.
U2 - 10.1002/fut.21914
DO - 10.1002/fut.21914
M3 - Journal article
VL - 38
SP - 1206
EP - 1226
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 10
ER -