digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

. Hence, it should be standard practice to consistently pretest for jumps, prior to estimating jump diffusions. Many currently … available tests have power against the presence of jumps over a finite time span (typically a day or a week); and, as already … noted by various authors, jumps may not be observed over finite time spans, even if the intensity parameter is strictly …