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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/7456
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/7456


    Title: The Valuation of European Options When Asset Returns Are Autocorrelated
    Authors: 廖四郎;陳昭君
    Liao, Szu-Lang;Chen, Chao-Chun
    Keywords: European Option Pricing;Autocorrelated Returns;Martingale Asset Pricing
    Date: 2006-01
    Issue Date: 2008-11-14 12:25:29 (UTC+8)
    Abstract: 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.
    Relation: Journal of Futures Markets, 26(1), 85-102
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20192
    DOI: 10.1002/fut.20192
    Appears in Collections:[金融學系] 期刊論文

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