Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options
分析了1984-1992年德国马克和日元期货期权价格偏离对数正态假设的程度，发现隐含的偏度和峰度随时间大幅变化，且能预测美元/马克期货价格未来异常，但不能预测美元/日元，同时“比索问题”无法解释无抛补利率平价的拒绝。
Deutsche mark and yen futures options over 1984–1992 and 1986–1992, respectively, are examined for deviations from the lognormal assumption underlying standard option pricing models. Two methods are used: an atheoretic ‘skewness premium,’ and daily estimates of moments using a model for pricing American foreign currency futures options under systematic exchange rate jump risk. Substantial variation over time is found in all moments, including implicit skewness and kurtosis. The implicit abnormalities predict future abnormalities in log-differenced $/DM futures prices, but not $/yen. The ‘peso problem’ implications do not explain standard rejections of uncovered interest parity.