The paper analyzes expected option returns in models with stochastic volatility and jumps. A comparison with empirically documented returns shows that the abili

This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered whe

Prices of equity index put options contain information on the price of systematic downward jump risk. We use a structural jump-diffusion firm value model to ass

Research on jump risk premia implicit in equity index options mainly focuses on the S&P 500. Based on risk-neutral valuation and Fourier transform methods for c

This paper examines expected option returns in the context of mainstream asset pricing theory. Under mild assumptions, call options have expected returns which