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    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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Information about price and volatility jumps inferred from options prices

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Information about price and volatility jumps inferred from options prices. / Taylor, Stephen John; Tzeng, Joseph; Widdicks, Martin.
In: Journal of Futures Markets, Vol. 38, No. 10, 10.2018, p. 1206-1226.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Taylor SJ, Tzeng J, Widdicks M. Information about price and volatility jumps inferred from options prices. Journal of Futures Markets. 2018 Oct;38(10):1206-1226. Epub 2018 Mar 25. doi: 10.1002/fut.21914

Author

Taylor, Stephen John ; Tzeng, Joseph ; Widdicks, Martin. / Information about price and volatility jumps inferred from options prices. In: Journal of Futures Markets. 2018 ; Vol. 38, No. 10. pp. 1206-1226.

Bibtex

@article{30d848ae111e405593f960c61d92529f,
title = "Information about price and volatility jumps inferred from options prices",
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.",
author = "Taylor, {Stephen John} and Joseph Tzeng and Martin Widdicks",
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.",
year = "2018",
month = oct,
doi = "10.1002/fut.21914",
language = "English",
volume = "38",
pages = "1206--1226",
journal = "Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley-Liss Inc.",
number = "10",

}

RIS

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 -