OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS

被引：2681

作者：

MERTON, RC ^{[1
]}

机构：

[1] MIT,CAMBRIDGE,MA 02139

来源：

关键词：

D O I：

10.1016/0304-405X(76)90022-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：125 / 144

页数：20

共 31 条

[1]

Bachelier L., 1964, RANDOM CHARACTER STO

[2] VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY [J].

BLACK, F ;

SCHOLES, M .

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

CLARK, PK .

[5]

COX DR, 1968, THEORY STOCHASTIC PR

[6]

COX JC, 1975, 275 U PENNS RL WHIT

[7] PORTFOLIO ANALYSIS IN A STABLE PARETIAN MARKET [J].

FAMA, EF .

[8] EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK [J].

FAMA, EF .

[9]

INGERSOLL J, 1975, 78275 MIT SLOAN SCH

[10]

Jensen M. C., 1972, CAPITAL ASSET PRICIN