Tip Pricing of Jump Propagation: Evidence from Spot and Options Markets

doi:10.1287/mnsc.2017.2885

CORC > 上海财经大学 > 上海财经大学

	Tip Pricing of Jump Propagation: Evidence from Spot and Options Markets
	Du, Du 1; Luo, Dan 2,3
刊名	MANAGEMENT SCIENCE
	2019-05
卷号	65 期号:5 页码:2360-2387
关键词	jump propagation joint pricing option volatility skew Hawkes jumps
ISSN号	0025-1909
DOI	10.1287/mnsc.2017.2885
英文摘要	This paper examines the joint time series of the S&P 500 index and its options with a two-factor Hawkes jump-diffusion model that captures jump propagation (i.e., the phenomenon in which the strike of one jump substantially raises the probability for more to follow). The propagation effect uncovered from the joint data is severe but short lived. On average, this component takes up more than two-thirds of the total jump risks. Our jump specification proves crucial not only in reconciling the dynamics implied from the joint data, but also in explaining the time series of option-implied volatility skew.
WOS研究方向	Business & Economics ; Operations Research & Management Science
语种	英语
出版者	INFORMS
WOS记录号	WOS:000467797300022
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/269]
专题	上海财经大学
通讯作者	Du, Du
作者单位	1.City Univ Hong Kong, Dept Econ & Finance, Kowloon Tong, Hong Kong, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China; 3.Shanghai Key Lab Financial Informat Technol, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Du, Du,Luo, Dan. Tip Pricing of Jump Propagation: Evidence from Spot and Options Markets[J]. MANAGEMENT SCIENCE,2019,65(5):2360-2387.
APA	Du, Du,&Luo, Dan.(2019).Tip Pricing of Jump Propagation: Evidence from Spot and Options Markets.MANAGEMENT SCIENCE,65(5),2360-2387.
MLA	Du, Du,et al."Tip Pricing of Jump Propagation: Evidence from Spot and Options Markets".MANAGEMENT SCIENCE 65.5(2019):2360-2387.