Do stock prices and volatility jump? reconciling evidence from spot and option prices
Article Abstract:
The feasibility of diffusion processes to study risks associated with stock price variations, in options and spot market, is examined.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
Market maker quotation behavior and pretrade transparency
Article Abstract:
Methods to improve stock price competition on the Nasdaq Stock Market are discussed.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Price discovery and volatility spillovers in index futures markets: some evidence from Mexico. Intraday trading volume and return volatility of the DJIA stocks: A note.
- Abstracts: The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation. Role of speculative short sales in price formation: the case of the weekend effect
- Abstracts: Regulators seek answers on Big Four domination. Making money from sustainability
- Abstracts: Accountability: The forgotten creed. Performance counts. Mango: accountants and international aid