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Option pricing when underlying stock returns are discontinuous

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Author Info
Merton, Robert C.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4YVB-6/2/0d8372fda5ec0938340ed1838965b45e
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 3 (1976)
Issue (Month): 1-2 ()
Pages: 125-144
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Handle: RePEc:eee:jfinec:v:3:y:1976:i:1-2:p:125-144

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Web page: http://www.elsevier.com/locate/inca/505576

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January. [Downloadable!] (restricted)
  2. S. James Press, 1967. "A Compound Events Model for Security Prices," Journal of Business, University of Chicago Press, vol. 40, pages 317. [Downloadable!]
  3. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May. [Downloadable!] (restricted)
  4. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
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  5. Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May. [Downloadable!] (restricted)
  6. Barr Rosenberg., 1972. "The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices," Research Program in Finance Working Papers 11, University of California at Berkeley.
  7. Michael C. Jensen, 1972. "Capital Markets: Theory and Evidence," Bell Journal of Economics, The RAND Corporation, vol. 3(2), pages 357-398, Autumn. [Downloadable!] (restricted)
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