Option Pricing When Jump Risk Is Systematic
This paper generalizes the Merton jump-diffusion option pricing model to the case in which jump risk cannot be eliminated in the market portfolio. the option pricing formula is obtained using a general equilibrium asset pricing model. Since jump risk is systematic, the correlation of the underlying stock's jump with the market portfolio's jump affects the option price. Copyright 1992 Blackwell Publishers.
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Volume (Year): 2 (1992)
Issue (Month): 4 ()
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