ON JUMPS IN COMMON-STOCK PRICES AND THEIR IMPACT ON CALL OPTION PRICING

[1] A SIMPLIFIED JUMP PROCESS FOR COMMON-STOCK RETURNS [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1983, 18 (01) : 53 - 65

[2] A NOTE ON ESTIMATING THE PARAMETERS OF THE DIFFUSION-JUMP MODEL OF STOCK RETURNS [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (01) : 127 - 140

[3] VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY [J]. JOURNAL OF FINANCE, 1972, 27 (02) : 399 - 417

[4] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[5] Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36

[6] ON VALUING AMERICAN CALL OPTIONS WITH THE BLACK-SCHOLES EUROPEAN FORMULA [J]. JOURNAL OF FINANCE, 1984, 39 (02) : 443 - 455

[7] JUMP RISKS AND THE INTERTEMPORAL CAPITAL-ASSET PRICING MODEL [J]. JOURNAL OF BUSINESS, 1984, 57 (03) : 337 - 351

[8] Jarrow RA, 1983, OPTION PRICING

[9] KENDALL MG, 1977, ADV THEORY STATISTIC

[10] EMPIRICAL-EXAMINATION OF THE BLACK-SCHOLES CALL OPTION PRICING MODEL [J]. JOURNAL OF FINANCE, 1979, 34 (05) : 1173 - 1186

[1] A SIMPLIFIED JUMP PROCESS FOR COMMON-STOCK RETURNS [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1983, 18 (01) : 53 - 65

[2] A NOTE ON ESTIMATING THE PARAMETERS OF THE DIFFUSION-JUMP MODEL OF STOCK RETURNS [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (01) : 127 - 140

[3] VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY [J]. JOURNAL OF FINANCE, 1972, 27 (02) : 399 - 417

[4] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[5] Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36

[6] ON VALUING AMERICAN CALL OPTIONS WITH THE BLACK-SCHOLES EUROPEAN FORMULA [J]. JOURNAL OF FINANCE, 1984, 39 (02) : 443 - 455

[7] JUMP RISKS AND THE INTERTEMPORAL CAPITAL-ASSET PRICING MODEL [J]. JOURNAL OF BUSINESS, 1984, 57 (03) : 337 - 351

[8] Jarrow RA, 1983, OPTION PRICING

[9] KENDALL MG, 1977, ADV THEORY STATISTIC

[10] EMPIRICAL-EXAMINATION OF THE BLACK-SCHOLES CALL OPTION PRICING MODEL [J]. JOURNAL OF FINANCE, 1979, 34 (05) : 1173 - 1186