We provide first-time evidence of the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are...

We provide first-time evidence of the real-time characteristics and drivers of jumps in option prices. To this end, we employ high-frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are...

The accurate specification of the process that the temperature follows over time is a prerequisite for the pricing of temperature derivatives. To this end, a horse race of alternative specifications of the dynamics of temperature is conducted by evaluating their out-of-sample forecasting...