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Pricing and hedging capped options

✍ Scribed by Phelim P. Boyle; Stuart M. Turnbull

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
724 KB
Volume
9
Category
Article
ISSN
0270-7314

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We develop a theory for option pricing with perfect hedging in an ine cient market model where the underlying price variations are autocorrelated over a time ΒΏ 0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener p