What Type of Process Underlies Options? A Simple Robust Test
提出一个简单稳健的方法，通过分析期权价格在到期时间趋近于零时的收敛速度，来区分标的资产价格过程中连续部分和跳跃部分的存在。应用于标普500指数期权，发现指数同时存在连续成分和跳跃成分。
Abstract We develop a simple robust method to distinguish the presence of continuous and discontinuous components in the price of an asset underlying options. Our method examines the prices of at‐the‐money and out‐of‐the‐money options as the option's time‐to‐maturity approaches zero. We show that these prices converge to zero at speeds that depend upon whether the underlying asset price process is purely continuous, purely discontinuous, or a combination of both. We apply the method to S&P 500 index options and find the existence of both a continuous component and a jump component in the index.