arbiter
JournalsAccount

Jump Risk Implicit in Options Market

Qiang Chen et al.

Journal of Financial Econometrics2025https://doi.org/10.1093/jjfinec/nbaf002article
AJG 3ABDC A*
Weight
0.53

Abstract

We propose a simple procedure to recover (semi-)moments and cumulants from option data. We further derive jump risk measures based on a general asset return model with double-exponential jumps. Numerical and empirical results show that our jump variation measures outperform existing measures under specific conditions. Using return and option data on the S&P 500 index, we examine the information content of our measures, with a focus on large jumps (LJ). Our measures contribute to market realized variance and excess return prediction suggested by in- and out-of-sample tests. Accounting for LJ identified by jump variation improves market return forecast, implying a distinct impact of large and non-LJ.

8 citations

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1093/jjfinec/nbaf002

Or copy a formatted citation

@article{qiang2025,
  title        = {{Jump Risk Implicit in Options Market}},
  author       = {Qiang Chen et al.},
  journal      = {Journal of Financial Econometrics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/jjfinec/nbaf002},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Jump Risk Implicit in Options Market

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.53

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.70 × 0.15 = 0.10
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.