The Impact of Jumps in Volatility and Returns
研究包含收益率和波动率跳跃的连续时间随机波动模型，用S&P 500和纳斯达克100指数数据估计参数、跳跃时点和大小，发现跳跃存在的强证据，并分析这些因素对期权定价的影响。
Abstract This paper examines continuous‐time stochastic volatility models incorporating jumps in returns and volatility. We develop a likelihood‐based estimation strategy and provide estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns. Estimates of jump times, jump sizes, and volatility are particularly useful for identifying the effects of these factors during periods of market stress, such as those in 1987, 1997, and 1998. Using formal and informal diagnostics, we find strong evidence for jumps in volatility and jumps in returns. Finally, we study how these factors and estimation risk impact option pricing.