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Pricing European options on autocorrelated indexes
Jokivuolle, Esa - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 39-52
Persistent link: https://www.econbiz.de/10001355579
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PRICING EUROPEAN OPTIONS ON AUTOCORRELATED INDEXES - Reported daily returns for equity indexes are often found to exhibit positive autocorrelation due to the infrequent trading of...
Jokivuolle, Esa - In: The journal of derivatives : the official publication … 19980, pp. 39-52
Persistent link: https://www.econbiz.de/10007374519
Cover Image
PRICING EUROPEAN OPTIONS ON AUTOCORRELATED INDEXES - Reported daily returns for equity indexes are often found to exhibit positive autocorrelation due to the infrequent trading of...
Jokivuolle, Esa - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 39-52
Persistent link: https://www.econbiz.de/10007346976