Option pricing in a lognormal securities market with discrete trading
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- Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
- Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
- Esther Weinstock Ancel & Ramesh K. S. Rao, 1990. "Stock Returns And Option Prices: An Exploratory Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 173-185, September.
- Jack S. K. Chang & Latha Shanker, 1987. "Option Pricing And The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 1-16, March.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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