Abstract
Duffie, Pan, and Singleton’s (2000) jump diffusion model is used to estimate implied densities using daily and high-frequency FTSE 100 index option contracts from 2005 to 2009. The empirical results suggest the occurrence of the following phenomena during the financial crisis: 1) more negative relationships between variance jumps and price jumps; 2) a larger magnitude of the negative mean of price jumps; 3) a larger variance of price jumps and a larger mean of variance jumps; and 4) a higher jump intensity. Further findings are as follows: 1) high-frequency data provide superior predictive power; 2) RNDs exhibit highly satisfactory predictive power for option expiration dates.