This article investigates the existence of discontin-uities in the sample path of exchange rates and of a stock 1 market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontinuities, even after allowingfor conditional heteroskedastic-ity in the diffusion process. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally, this jump component is shown to explain some of the empir-ically observed mispricings in the currency options market.