About: Option pricing when underlying stock returns are discontinuous

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scientific article (publication date: 1976)

Attributes	Values
rdf:type	Item
description	wissenschaftlicher Artikel (de) artículu científicu espublizáu en 1976 (ast) مقالة علمية (نشرت عام 1976) (ar) наукова стаття, опублікована в січні 1976 (uk) 1976 թվականի հունվարին հրատարակված գիտական հոդված (hy) 1976 թուականի Յունուարին հրատարակուած գիտական յօդուած (hyw) scientific article (publication date: 1976) (en) wetenschappelijk artikel (gepubliceerd in 1976-01) (nl)
publication date	wds:Q29026334-471D0937-E434-43BD-B8D4-F6FBE253D9DB
publication date	1976-01-01 00:00:00Z (xsd:dateTime)
author name string	wds:Q29026334-C3176735-11EB-455B-B501-68760E30270A
author name string	Robert C. Merton
rdfs:label	Option pricing when underlying stock returns are discontinuous (en) Option pricing when underlying stock returns are discontinuous (ast)
skos:prefLabel	Option pricing when underlying stock returns are discontinuous (en) Option pricing when underlying stock returns are discontinuous (ast)
name	Option pricing when underlying stock returns are discontinuous (en) Option pricing when underlying stock returns are discontinuous (ast)
title	wds:Q29026334-58439CD7-5CCD-4345-89B5-3EF7EED358D4
title	Option pricing when underlying stock returns are discontinuous (en)
page(s)	wds:Q29026334-AC571441-B24B-4315-9545-BB33A26F3CF7
page(s)	125-144
instance of	wds:Q29026334-8E573205-831F-439C-AAAA-C9A09BBE4FA3
instance of	scholarly article
published in	wds:Q29026334-6E9C44BC-876E-4BD2-87B7-0690103BA49A
published in	Journal of Financial Economics
issue	wds:Q29026334-DB83D2F8-FEE7-42FD-9561-C173F6A3FC9E
volume	wds:Q29026334-FFF3BE67-EEEA-4F56-9411-35E6640E2E02
issue	1-2
volume	3
DOI	wds:Q29026334-D2EC6CFE-FDA1-48BE-BB88-C1E467AFB5AD
DOI	http://dx.doi.org/10.1016/0304-405X(76)90022-2
DOI	10.1016/0304-405X(76)90022-2
maintained by WikiProject	wds:Q29026334-4F143F36-C969-4931-B983-043E13D706E7
maintained by WikiProject	WikiProject Mathematics
zbMATH Open document ID	wds:Q29026334-DF4EF820-063B-46EE-B8F7-5A9EAC634A65
zbMATH Open document ID	1131.91344
is about of	https://www.wikidata.org/wiki/Special:EntityData/Q29026334
is cites work of	Stochastic calculus for uncoupled continuous-time random walks. Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach. A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk A Finite Difference Scheme for Pricing American Put Options under Kou's Jump-Diffusion Model Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method Pricing Currency Option in a Mixed Fractional Brownian Motion with Jumps Environment Disentangling the stochastic behavior of complex time series Accurate predictions of population-level changes in sequence and structural properties of HIV-1 Env using a volatility-controlled diffusion model. Numerical Solutions of Stochastic Differential Delay Equations with Poisson Random Measure under the Generalized Khasminskii-Type Conditions Research Habits in Financial Modelling: The Case of Non-normality of Market Returns in the 1970s and the 1980s First steps towards an equilibrium theory for Lévy financial markets Real option value and random jumps: application of a simulation model Exit times in non-Markovian drifting continuous-time random-walk processes. Extreme times in financial markets. Empirical Characteristic Function Estimation and Its Applications Comparison of Jump-Diffusion Parameters Using Passage Times Estimation Seasonal factors and outlier effects in rate of return on electricity spot prices in Australia's National Electricity Market On Option Pricing in Illiquid Markets with Jumps Fractional Stochastic Differential Equations with Hilfer Fractional Derivative: Poisson Jumps and Optimal Control Assessing the performance of symmetric and asymmetric implied volatility functions The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance and Finance The dynamics of commodity prices Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market The risk of model misspecification and its impact on solvency measurement in the insurance sector European Option Pricing with Transaction Costs in Lévy Jump Environment Jump Diffusion Models for Risky Debts: Quality Spread Differentials Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming Permanent shocks and forecasting with moving averages An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve Alternative asset-price dynamics and volatility smile Continuous-Time Methods in Finance: A Review and an Assessment Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program Closed-Form Optimal Strategies of Continuous-Time Options with Stochastic Differential Equations Staged Venture Capital Investment considering Unexpected Major Events Realized Jump Risk and Equity Return in China A Kramers-Moyal approach to the analysis of third-order noise with applications in option valuation A new logistic-type model for pricing European options. The Optimal Analysis of Default Probability for a Credit Risk Model Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes Optimal Portfolio Selection with Transaction Costs Subordination, Self-Similarity, and Option Pricing On the Distribution of First Exit Time for Brownian Motion with Double Linear Time-Dependent Barriers Stochastic processes in insurance and finance An examination of the efficiency of the London Traded Options Market A noise-robust estimator of volatility based on interquantile ranges Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes Implications of Parameter Uncertainty on Option Prices Regime-Switching Risk: To Price or Not to Price? Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation Carbon Market Regulation Mechanism Research Based on Carbon Accumulation Model with Jump Diffusion Algorithms of Finite Difference for Pricing American Options under Fractional Diffusion Models Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility Option parameter analysis and market efficiency tests: a simultaneous solution approach Portfolio Selection with Jumps under Regime Switching VaR: Exchange Rate Risk and Jump Risk Measuring country event risk compensation on BRICs international portfolio management Finiteness of variance is irrelevant in the practice of quantitative finance

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