Pricing discrete barrier options under jump-diffusion model with liquidity risk

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Option Pricing, Liability (Financial Accounting), Asset Pricing +11

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Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6K citations · Full text

Option Pricing, Asset Pricing, Derivative Pricing +3

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Liquidity Risk, Financial Economics, Asset Pricing +6