World oil prices have been high since 1973, compared to average production costs and historical norms, because the Organization of Petroleum Exporting Countries (OPEC) has functioned as a viable price-setting and output-restricting institution. Prices increased sharply in 1973-1974 and 1979, and...

We investigate jump memory using an extensive database of short-term S&P 500 index options. Jump memory refers to the attenuation of the implied jump intensity and magnitude parameters following a crash event. We use a genetic algorithm to obtain a time series of implied parameter estimates and...