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The Impact of Overnight Periods on Option Pricing

Mark-Jan BoesFeike C. DrostBas J. M. Werker

出版	Center for Economic Research, 2004
URL	http://books.google.com.hk/books?id=XpeKkQEACAAJ&hl=&source=gbs_api

註釋

This paper investigates the effect of overnight trading halts on option prices. We model overnight returns by a pure jump process. Intraday returns follow the literature's standard models by allowing for stochastic volatility and a random jump component. We find that neither the intraday random jumps nor the overnight jumps are able to empirically describe all features of asset prices. We therefore conclude that both random jumps during the day and overnight jumps are important in explaining option prices, where the latter account for about one-third of total jump risk.