| dc.creator (作者) | 廖四郎;陳昭君 | zh_TW |
| dc.creator (作者) | Liao, Szu-Lang ; Chen, Chao-Chun | - |
| dc.date (日期) | 2006-01 | en_US |
| dc.date.accessioned | 14-Nov-2008 12:25:29 (UTC+8) | - |
| dc.date.available | 14-Nov-2008 12:25:29 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2008 12:25:29 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/7456 | - |
| dc.description.abstract (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. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Futures Markets, 26(1), 85-102 | en_US |
| dc.subject (關鍵詞) | European Option Pricing; Autocorrelated Returns; Martingale Asset Pricing | - |
| dc.title (題名) | The Valuation of European Options When Asset Returns Are Autocorrelated | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.20192 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.20192 | en_US |
