𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Option pricing when asset returns jump interruptedly

✍ Scribed by Daniel Wei-Chung Miao; Steve Hsin-Ting Yu


Book ID
112007200
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
787 KB
Volume
aop
Category
Article
ISSN
1524-1904

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## 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