Option pricing when underlying stock returns are discontinuous

DOI10.1016/0304-405X(76)90022-2zbMATH Open1131.91344OpenAlexW2151065060WikidataQ29026334 ScholiaQ29026334MaRDI QIDQ5452379FDOQ5452379

Authors: Robert C. Merton 

Publication date: 3 April 2008

Published in: Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-405x(76)90022-2

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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