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Option pricing when underlying stock returns are discontinuous

  • Merton, Robert C.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4YVB-6/2/0d8372fda5ec0938340ed1838965b45e
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 3 (1976)
Issue (Month): 1-2 ()
Pages: 125-144

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Handle: RePEc:eee:jfinec:v:3:y:1976:i:1-2:p:125-144
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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  1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  3. Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May.
  4. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317.
  5. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
  6. Barr Rosenberg., 1972. "The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices," Research Program in Finance Working Papers 11, University of California at Berkeley.
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