Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes
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Volume (Year): 16 (2009)
Issue (Month): 2 (June)
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References listed on IDEAS
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- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics,
Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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