The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices

Table 2

Ratios between the JDMN and JDMExp option prices.

Strike

95%

100%

105%

3 m

6 m

9 m

12 m

3 m

6 m

9 m

12 m

3 m

6 m

9 m

12 m

3 m

6 m

9 m

12 m