Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

► We examine the performance of non-affine option pricing models. ► We augment standard models by jumps and a second stochastic variance factor. ► We find non-affine models significantly outperform their affine counterparts. ► A stochastic mean reversion factor is necessary to explain long-term option prices. ► We find little support for price and variance jumps in non-affine models.