This paper studies the relationship between the cross section of stock returns and firm specific jump risk. Using option data, we estimate various option-based time-series. Sorting firms according to their firm specific jump risk, we find that this risk is priced for small stocks. Furthermore,...

This paper derives an integrated reduced-form model to calculate the values of adjustable-rate leases with embedded cancellation, purchase, and default options. We also provide numerical examples showing that for a 30-year lease contract, the lessor offers a 15% discount in the initial rent, but...