Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market

George Kapetanios; Eirini Konstantinidi; Michael H. Neumann; George Skiadopoulos

doi:10.1016/j.finmar.2019.100506

Journal of Financial Markets Vol. 46 2019

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market

George Kapetanios^1,2; Eirini Konstantinidi³; Michael H. Neumann^{4,5,6,7,3,8,9}; George Skiadopoulos^4,10,6,9

¹ King's College London · ² King's College School · ³ University of Manchester · ⁴ Piraeus Bank · ⁵ Brunel University of London · ⁶ University of Piraeus · ⁷ University of Zurich · ⁸ Hebrew College · ⁹ Queen Mary University of London · ¹⁰ City, University of London

open access

DOI: 10.1016/j.finmar.2019.100506
Volume: 46
Pages: 100506
Language: en
Sources: crossref openalex

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market

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