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Lognormal option pricing for arbitrary underlying assets: a synthesis

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  • Rodriguez, Ricardo J.

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  • Rodriguez, Ricardo J., 2002. "Lognormal option pricing for arbitrary underlying assets: a synthesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 577-586.
    • Handle: RePEc:eee:quaeco:v:42:y:2002:i:3:p:577-586
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    References listed on IDEAS

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    1. Borch, Karl, 1984. "A Note on Option Prices," The Financial Review, Eastern Finance Association, vol. 19(1), pages 124-127, March.
    2. Garven, James R, 1986. "A Pedagogic Note on the Derivation of the Black-Scholes Option Pricing Formula," The Financial Review, Eastern Finance Association, vol. 21(2), pages 337-344, May.
    3. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.
    4. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    5. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    6. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
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