This online appendix provides results omitted in the paper with the same title.
Appendix A explains all the definitions and equations necessary for practical computations of an option pricing formula in Theorem 4.3: Section A.1 gives a summary with
Corollary A.1, which shows our pricing formula with complete expressions of constants
Ci,k (i = 1, 2, 3), Cj (j = 4, 5, 6) appearing in the theorem. Section A.2. provides the
details of the derivation. Appendix B lists up the conditional expectation formulas
used in the derivation of the theorem.