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- W2512555491 abstract "Compound Poisson and compound Bernoulli perturbations are introduced in addition to normal errors in the AR(1) model for discrete time version of log-price process. The formula for expected present value of European Call Option is extended to these cases. Other than European option, the valuation of Asian option is also considered and formulas for Geometric Asian option for AR(1) log-price process incorporating compound Poisson and compound Bernoulli jumps also obtained." @default.
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- W2512555491 date "2011-03-01" @default.
- W2512555491 modified "2023-09-24" @default.
- W2512555491 title "Option Pricing Under Compound Bernoulli and Poisson Perturbations of AR(1) Log-Price Process" @default.
- W2512555491 doi "https://doi.org/10.1177/0008068320110116" @default.
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