Boes, Mark-Jan; Drost, Feike C.; Werker, Bas J. M. - In: Journal of Financial and Quantitative Analysis 42 (2007) 02, pp. 517-533
This paper investigates the effect of closed overnight exchanges on option prices. During the trading day, asset prices follow the literature's standard affine model that allows for stochastic volatility and random jumps. Independently, the overnight asset price process is modeled by a single...