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Option pricing in a lognormal securities market with discrete trading

Author

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  • Lee, Wayne Y.
  • Rao, Ramesh K. S.
  • Auchmuty, J. F. G.

Abstract

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Suggested Citation

  • Lee, Wayne Y. & Rao, Ramesh K. S. & Auchmuty, J. F. G., 1981. "Option pricing in a lognormal securities market with discrete trading," Journal of Financial Economics, Elsevier, vol. 9(1), pages 75-101, March.
    • Handle: RePEc:eee:jfinec:v:9:y:1981:i:1:p:75-101
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    Cited by:

    1. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
    2. J. Austin Murphy, 1990. "A Modification and Re-Examination of the Bachelier Option Pricing Model," The American Economist, Sage Publications, vol. 34(2), pages 34-41, October.
    3. Jack S. K. Chang & Latha Shanker, 1987. "Option Pricing And The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 1-16, March.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    5. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
    6. Ramesh K.S. Rao, 1981. "Modern Option Pricing Models: A Dichotomous Classification," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 33-44, March.
    7. Esther Weinstock Ancel & Ramesh K. S. Rao, 1990. "Stock Returns And Option Prices: An Exploratory Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 173-185, September.

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