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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Year of publication:	1992
Authors:	Ahn, Chang Mo
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 2.1992, 4, p. 299-308
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521931