Option pricing when underlying stock returns are discontinuous

DOI10.1016/0304-405X(76)90022-2zbMath1131.91344OpenAlexW2151065060WikidataQ29026334 ScholiaQ29026334MaRDI QIDQ5452379

Robert C. Merton

Publication date: 3 April 2008

Published in: Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-405x(76)90022-2

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)