NOTE QUANT - ZERO DAYS TO EXPIRATION OPTIONS PRICING

Among the different types of options, those that expire on the same day, known as 0-DTE (Zero Days to Expiration), have gained in popularity and attention. Trading volume in 0-DTE options has risen sharply, particularly since 2020. Between 2021 and 2023, the volume of 0-DTE options doubled, reflecting a 100% increase. By 2023, these options accounted for 43% of total trading volume in options with maturities of less than one year, reflecting their growing popularity with traders. The central problem of our study is to improve the pricing of 0-DTE options by testing different families of stochastic models. Our main approach is to introduce and evaluate jump models.