Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a … finite-sample performance. Our empirical results reveal evidence of jump contagion in option markets, both from the US to …