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https://ah.lib.nccu.edu.tw/handle/140.119/7456
題名: | The Valuation of European Options When Asset Returns Are Autocorrelated | 作者: | 廖四郎;陳昭君 Liao, Szu-Lang ; Chen, Chao-Chun |
關鍵詞: | European Option Pricing; Autocorrelated Returns; Martingale Asset Pricing | 日期: | 一月-2006 | 上傳時間: | 14-十一月-2008 | 摘要: | This article derives the closed-form formula for a European option on an asset with returns following a continuous-time type of first-order moving average process, which is called an MA(1)-type option. The pricing formula of these options is similar to that of Black and Scholes, except for the total volatility input. Specifically, the total volatility input of MA(1)-type options is the conditional standard deviation of continuous-compounded returns over the option`s remaining life, whereas the total volatility input of Black and Scholes is indeed the diffusion coefficient of a geometric Brownian motion times the square root of an option`s time to maturity. Based on the result of numerical analyses, the impact of autocorrelation induced by the MA(1)-type process is significant to option values even when the autocorrelation between asset returns is weak. | 關聯: | Journal of Futures Markets, 26(1), 85-102 | 資料類型: | article | DOI: | http://dx.doi.org/10.1002/fut.20192 |
Appears in Collections: | 期刊論文 |
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