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We propose a nonparametric technique to estimate risk-neutral volatility distributions. Our method does not need to specify a parametric risk-neutral jump-diffusion for returns and volatilities, nor do we need observations on volatility derivatives. The method uses (daily) observations on plain vanilla options only. Using S&P-500 data, we confirm a negative(More)
Social workers can learn much about the uses of humor from workers in the turbulent and fast-paced atmosphere of a large city hospital emergency room in which it flourishes. This article illustrates staff use of five varieties of humor in this stressful and sometimes dangerous setting: (1) tension-relieving nonsense, (2) play on words, (3) sense of the(More)
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 which allows for stochastic volatility and random jumps. Independently, the overnight asset price process is modelled by a single jump. We find that the overnight component reduces the variation(More)
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