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Lognormal option pricing for arbitrary underlying assets: a synthesis

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  • Rodriguez, Ricardo J.
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 42 (2002)
    Issue (Month): 3 ()
    Pages: 577-586

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    Handle: RePEc:eee:quaeco:v:42:y:2002:i:3:p:577-586

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    Web page: http://www.elsevier.com/locate/inca/620167

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    1. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    2. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    3. Borch, Karl, 1984. "A Note on Option Prices," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 19(1), pages 124-27, March.
    4. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    6. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-24, December.
    7. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
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