Information about price and volatility jumps inferred from options prices
将高频跳跃检验应用于期货和期权价格，推断标的资产价格和波动率的跳跃特征。对FTSE 100合约的实证发现，期货价格跳跃比波动率跳跃对期权定价更重要，且证据支持含跳跃风险溢价的仿射跳跃扩散过程。
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.