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Bernard Dumas, Jeff Fleming, Robert E · 1998 · arXiv 1082.00083

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Non-Spanning Identification of Scheduled Event Risk in Option Pricing

q-fin.PR · 2026-06-11 · unverdicted · novelty 7.0

Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.

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  • Non-Spanning Identification of Scheduled Event Risk in Option Pricing q-fin.PR · 2026-06-11 · unverdicted · none · ref 13

    Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.