On Jump Processes in the Foreign Exchange and Stock Markets

@inproceedings{Jorion1988OnJP,
  title={On Jump Processes in the Foreign Exchange and Stock Markets},
  author={Philippe Jorion},
  year={1988}
}
exchange rates exhibit systematic discontinuities, even after allowingfor conditional heteroskedasticity in the diffusion process. The results are much more significant in theforeign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally, this jump component is shown to explain some of the empirically observed mispricings in the currency options market. The objective of this article is to analyze and compare the empirical distribution of… CONTINUE READING

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