We develop a straightforward procedure to price derivatives by a bivariate tree when the underlying process is a jump-diffusion. Probabilities and jump sizes are derived by matching higher order moments or cumulants. Comparisons with other published results are given along with convergence...

We investigate quot;Jump Memoryquot; using an extensive data base of short-term Samp;P 500 Index options. Jump memory refers to the attenuation of the jump intensity and magnitude parameters following a jump event. Behavioral and rational explanations for this phenomenon are posited. The pricing...

The methodology for determining the statistical significance of the impact of a certain event (stock split, corporate restructuring, change in regulation, etc.) on the unsystematic volatility of asset returns is developed. The measures of such an impact and corresponding test statistics are...