In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings...

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings...

This paper examines causality between the series of returns ans transaction volumes in high frequency data. The dynamics in both series is restricted to transitions between a finite umber of stated. Depending on the state selection criteria, this approach approximated the dynamics of varying...

We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a...