Article1994

Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing

Myung-Jig Kim · Young-Ho Oh · Robert E. Brooks

36 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Myung-Jig Kim, Young-Ho Oh, Robert Brooks, Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing, The Journal of Financial and Quantitative Analysis, Vol. 29, No. 4 (Dec., 1994), pp. 609-631

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1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1973The Pricing of Options and Corporate Liabilities 1976Option pricing when underlying stock returns are discontinuous 1991Continuous-Time Finance.1988On Jump Processes in the Foreign Exchange and Stock Markets 1991A probability model of the coincident economic indicators 1967A Compound Events Model for Security Prices 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

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1996Detecting volatility changes across the oil sector 2017Jumps, cojumps, and efficiency in the spot foreign exchange market 1999Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the "Weekend Effect"2005Is it important to consider the jump component for pricing and hedging short-term options?

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