By extending Kumar, Ruenzi and Ungeheuer (2018), we examine whether the attention-induced overpricing spills over from the stock market to the options market. While they find an increasing buying pressure from retail investors when the stock achieves an attention-grabbing status in the form of a...

The stock price is assumed to follow a jump-diffusion process which may exhibit time-varying volatilities. An econometric technique is then developed for this model and applied to high-frequency time series of stock prices that are subject to microstructure noises. Our method is based on first...

A particle- lter based estimation method is developed for the stochastic volatility model with/without jumps and applied on the S&P 500 index value and the VIX term structure jointly. The model encompasses all mean-reverting stochastic volatility option pricing models with a constant elasticity...