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Option pricing : A review

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  • Smith, Clifford Jr.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4YVB-3/2/d007115981091f7bac3de983f04248dc
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 3 (1976)
    Issue (Month): 1-2 ()
    Pages: 3-51

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    Handle: RePEc:eee:jfinec:v:3:y:1976:i:1-2:p:3-51

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. J. Huston McCulloch, 2004. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty," Econometric Society 2004 North American Winter Meetings 428, Econometric Society.
    2. Linda M. Hooks & Kenneth J. Robinson, 1996. "Moral hazard and Texas banking in the 1920s," Financial Industry Studies Working Paper 96-1, Federal Reserve Bank of Dallas.
    3. Alan Marcus, 1987. "Corporate Pension Policy and the Value of PBGC Insurance," NBER Chapters, in: Issues in Pension Economics, pages 49-80 National Bureau of Economic Research, Inc.
    4. Robert McDonald & Daniel Siegel, 1981. "Option Pricing When the Underlying Asset is Non-Stored," Discussion Papers 512, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    5. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. Mark Gersovitz, 1980. "Economic Consequences of Unfunded Vested Pension Benefits," NBER Working Papers 0480, National Bureau of Economic Research, Inc.
    7. J. Huston McCulloch, 2004. "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion," Computing in Economics and Finance 2004 13, Society for Computational Economics.
    8. Mark E. Levonian, 1991. "Have large banks become riskier? recent evidence from option markets," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 3-17.
    9. Merton, Robert C., 1976. "Continuous-time portfolio theory and the pricing of contingent claims," Working papers 881-76., Massachusetts Institute of Technology (MIT), Sloan School of Management.

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