Option pricing when underlying stock returns are discontinuous (1976)

by Robert C. Merton
Venue:Journal of Financial Economics
Citations:684 - 1 self

Active Bibliography

585 Option Pricing: A Simplified Approach – John C. Cox, Stephen A. Ross, Mark Rubinstein - 1979
737 A closed-form solution for options with stochastic volatility with applications to bond and currency options – Steven L. Heston - 1993
619 AN EQUILIBRIUM CHARACTERIZATION OF THE TERM STRUCTURE – Oldrich Vasicek - 1977
1286 On the pricing of corporate debt: The risk structure of interest rates – C. Merton, Robert C. Merton - 1974
914 On persistence in mutual fund performance – M. Carhart, Mark M. Carhart - 1997
588 The pricing of options on assets with stochastic volatilities – John Hull, Alan White - 1987
1035 Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure – Michael C. Jensen, William H. Meckling - 1976
OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS – Robert C. Erton - 1975
412 Market Efficiency, Long-Term Returns, and Behavioral Finance – Eugene F. Fama - 1998