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AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES

  • Published:2017-09 Issue:3 Volume:40 Page:401-427
  • ISSN:0270-2592
  • Container-title:Journal of Financial Research
  • language:en
  • Short-container-title:The Journal of Financial Research

Author:

Brooks Robert1,Brooks Joshua A.2

Affiliation:

1. University of Alabama

2. Columbus State University

Publisher

Wiley

Subject

Finance,Accounting

Reference41 articles.

1. The leverage effect puzzle: Disentangling sources of bias at high frequency;Ait-Sahalia;Journal of Financial Economics,2013

2. Alexander , S. 1961 Industrial Management Review The Random Character of Stock Market Prices

3. Bachelier , L. 1900 The Random Character of Stock Market Prices

4. Black , F. 1976 Proceedings of the 1976 Meetings of the American Statistical Association 171 81

5. The valuation of option contracts and a test of market efficiency;Black;Journal of Finance,1972

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