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The exact distribution of R2 when the regression disturbances are autocorrelated

✍ Scribed by Mark L. Carrodus; David E.A. Giles


Book ID
116101332
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
318 KB
Volume
38
Category
Article
ISSN
0165-1765

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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