Option pricing when underlying stock returns are discontinuous
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- Type
- article
- Published
- 1976-01-01
- Cited by
- 6,066
- References
- 39
- Access
- Open access
- OpenAlex
- https://openalex.org/W2151065060
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:16243720
Keywords
Economics, Stock (firearms), Financial economics, Variable pricing, Business
References
- Capital Markets: Theory and Evidence
- The Theory of Stochastic Processes
- EQUILIBRIUM IN A CAPITAL ASSET MARKET
- Studies in the Theory of Capital Markets.
- Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3
- The arbitrage theory of capital asset pricing
- CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
- The Valuation of Option Contracts and a Test of Market Efficiency
- The Pricing of Options and Corporate Liabilities
- Mathematics of Speculative Price
- EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
- AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL
- Portfolio Analysis in a Stable Paretian Market
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- The Random Character of Stock Market Prices.
- Appendix : A free boundary problem for the heat equation arising from a problem in mathematical economics
- A Compound Events Model for Security Prices
- Return, Risk and Arbitrage
- The Theory Of Stochastic Processes
- A theoretical and empirical investigation of the dual purpose funds
Cited by
- Option Pricing in ARCH-type Models: with Detailed Proofs
- Analysis of the Option Prices in Jump Diffusion Models.
- Préstamos con interés variable: Análisis estocástico
- Forward Measures in a Ho and Lee Jump Diffusion Model
- Essays on GMO effects on crop yields, the effects of pricing errors on implied volatilities and smoothing for seasonal time series with a long cycle
- Three essays in option pricing
- The Future of Finance and Financial Economics
- The numerical valuation of options with underlying jumps.
- Évaluation d'options "vanilles" et "digitales" dans le modèle de marché à intervalles
- A MCMC Analysis of Time-Changed Levy Processes of Stock Return Dynamics
- Option Pricing Under Dividend Barrier Strategies
- Put-Call Duality and Symmetry
- Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
- Topics in pricing American type financial contracts
- Hedging claims with feedback jumps in the price process
- Model risk in the pricing of exotic options
- THE ECONOMIC SIGNIFICANCE OF THE FORECAST BIAS OF S&P 100 INDEX OPTION IMPLIED VOLATILITY
- Modelling operational risk measurement in Islamic banking : a theoretical and empirical investigation
- Fundamentals of Electricity Derivatives
- Adaptive finite element methods for variational inequalities: Theory and applications in finance
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