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Option pricing when underlying stock returns are discontinuous

19766,052 citationsJournal Articlegreen Open Access

Authors

Robert C. Merton

Topics & Keywords

Financial Markets and Investment Strategies Stochastic processes and financial applications Capital Investment and Risk Analysis

Publication Details

Published in: Journal of Financial Economics

Volume 3, Issue 1-2, pp. 125-144

DOI: 10.1016/0304-405x(76)90022-2

Field-Weighted Citation Impact: 38.55

Option pricing when underlying stock returns are discontinuous | Researchclopedia