PDF Jumps in option prices and their determinants Real time


PDF Jumps in option prices and their determinants Real time


We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps occur around scheduled news releases. However, it is illiquidity rather than the news content thaGeorge KapetaniosUniversity of London - Queen Mary College - Department of Economics Michael NeumannBank of America - Bank of America Merrill Lynch George S.

AbstractWe study the real-time characteristics and drivers of jumps in option prices. However, it is illiquidity rather than the news content that drives jumps. Ttheir suggests that option dteerminants increase bid-ask spreads to account for trading against investors who are skilled processors ofGeorge KapetaniosUniversity of London - Queen Mary College - Department of Economics Michael NeumannBank of America - Bank of America Merrill Lynch George S.

Evidence suggests that option traders increase bid-ask spreads to proces for trading against investors who are skilled processors of.




PDF Jumps in option prices and their determinants Real time

PDF Jumps in option prices and their determinants Real time


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