Option Pricing When Underlying Stock Returns Are Discontinuous
GPTKB entity
Statements (14)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:academic_journal
|
| gptkbp:author |
gptkb:Robert_C._Merton
|
| gptkbp:citation |
highly cited
|
| gptkbp:contribution |
Extends Black-Scholes model to include jumps in stock prices
|
| gptkbp:doi |
10.1016/0304-405X(76)90022-2
|
| https://www.w3.org/2000/01/rdf-schema#label |
Option Pricing When Underlying Stock Returns Are Discontinuous
|
| gptkbp:language |
English
|
| gptkbp:publicationYear |
1976
|
| gptkbp:publishedIn |
gptkb:Journal_of_Financial_Economics
|
| gptkbp:topic |
option pricing
financial mathematics jump diffusion |
| gptkbp:bfsParent |
gptkb:Robert_C._Merton
|
| gptkbp:bfsLayer |
5
|