Option pricing when underlying stock returns are discontinuous

A-Tier
Journal: Journal of Financial Economics
Year: 1976
Volume: 3
Issue: 1-2
Pages: 125-144

Authors (1)

Merton, Robert C. (Massachusetts Institute of Tec...)

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:eee:jfinec:v:3:y:1976:i:1-2:p:125-144
Journal Field
Finance
Author Count
1
Added to Database
2026-01-26