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 …

macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that … results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps …