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

Myung Jig Kim; Young-Ho Oh; Robert Brooks

Journal of Financial and Quantitative Analysis 1994 29(4), 609

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