estimating the expected jump tails under the statistical probability measure, and short maturity out-of-the money options and new …

options and new model-free option implied variation measures explicitly designed to separate the tail probabilities. At a …

extreme-value theory approximations together with short-maturity options. The new estimation approach explicitly allows the … change over time. On implementing the procedures with a panel of S&P 500 options, our estimates clearly suggest the existence …