NOTE: QUANT – OPTION PRICING WITH ZERO DAYS TO EXPIRATION

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