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Sloan School of Management" name="citation_publisher"> <meta content="eng" name="citation_language"> <meta content="https://dspace.mit.edu/bitstream/1721.1/1899/1/SWP-0787-02088699.pdf" name="citation_pdf_url"> <meta content="1975" name="citation_date"> <meta content="https://dspace.mit.edu/handle/1721.1/1899" name="citation_abstract_html_url"> </head><body> <div class="wrap-outer-header layout-band"> <div class="wrap-header"> <header role="banner" class="header-site header-slim"> <div class="wrap-header-core"> <h1 class="name-site group nav-logo"> <a href="https://libraries.mit.edu/" class="logo-mit-lib"><img height="35" alt="MIT Libraries logo" src="https://cdn.libraries.mit.edu/files/branding/local/mitlib-wordmark.svg"></a><a href="/" class="platform-name">DSpace@MIT</a> </h1> </div> <div class="wrap-header-supp"> <a href="https://www.mit.edu" class="link-logo-mit"><img height="35" alt="MIT" src="https://cdn.libraries.mit.edu/files/branding/local/mit_logo_std_rgb_white.svg"></a> </div> </header> </div> </div> <div class="trail-wrapper hidden-print"> <div> <div> <div> <div class="breadcrumb dropdown visible-xs"> <a data-toggle="dropdown" class="dropdown-toggle" role="button" href="#" id="trail-dropdown-toggle">View Item <b class="caret"></b></a> <ul aria-labelledby="trail-dropdown-toggle" role="menu" class="dropdown-menu"> <li role="presentation"> <a role="menuitem" href="/">DSpace@MIT Home</a> </li> <li role="presentation"> <a role="menuitem" href="/handle/1721.1/1777">Sloan School of Management</a> </li> <li role="presentation"> <a role="menuitem" href="/handle/1721.1/1792">Sloan Working Papers</a> </li> <li role="presentation" class="disabled"> <a href="#" role="menuitem">View Item</a> </li> </ul> </div> <ul class="wrap-breadcrumb breadcrumb hidden-xs"> <li> <a href="/">DSpace@MIT Home</a> </li> <li> <a href="/handle/1721.1/1777">Sloan School of Management</a> </li> <li> <a href="/handle/1721.1/1792">Sloan Working Papers</a> </li> <li class="active">View Item</li> </ul> </div> </div> </div> </div> <div class="hidden" id="no-js-warning-wrapper"> <div id="no-js-warning"> <div class="notice failure">JavaScript is disabled for your browser. Some features of this site may not work without it.</div> </div> </div> <div class="wrap-content" id="main-container"> <div class="starter"> <button type="button" class="navbar-toggle visible-xs visible-sm pull-right" data-toggle="offcanvas"><span class="sr-only">Toggle navigation</span><span class="icon-bar"></span><span class="icon-bar"></span><span class="icon-bar"></span></button> </div> <div class="row row-offcanvas row-offcanvas-right"> <div class="horizontal-slider clearfix"> <div class="col-xs-12 col-sm-12 col-md-9 main-content"> <div> <div id="aspect_versioning_VersionNoticeTransformer_div_item-view" class="ds-static-div primary">  <div class="item-summary-view-metadata"> <h2 class="page-header first-page-header">Option pricing when underlying stock returns are discontinuous</h2> <div class="simple-item-view-authors item-page-field-wrapper table"> <h5>Author(s)</h5> <span class=""><span class="author-list-1">Merton, Robert C.</span></span> </div> <div class="row"> <div class="col-sm-4 smaller-font"> <div class="row"> <div class="col-xs-6 col-sm-12"> <div class="thumbnail"> <img alt="Thumbnail" class="img-thumbnail" src="/bitstream/handle/1721.1/1899/SWP-0787-02088699.pdf.jpg?sequence=3&isAllowed=y"></div> </div> <div class="col-xs-6 col-sm-12"> <div class="item-page-field-wrapper table word-break"> <div> <a class="btn btn-primary download-button" href="/bitstream/handle/1721.1/1899/SWP-0787-02088699.pdf?sequence=1&isAllowed=y">Download</a>SWP-0787-02088699.pdf (1.476Mb)</div> </div> <div class="item-page-field-wrapper table word-break"></div> </div> </div> <div class="simple-item-view-show-full item-page-field-wrapper table"> <h5>Metadata</h5> <a href="/handle/1721.1/1899?show=full">Show full item record</a> </div> </div> <div class="col-sm-8"> <div class="simple-item-view-description item-page-field-wrapper table"> <h5>Description</h5> <div>Bibliography: leaves [28-29].</div> </div> <div class="simple-item-view-date word-break item-page-field-wrapper table"> <h5>Date issued</h5>1975</div> <div class="simple-item-view-uri item-page-field-wrapper table"> <h5>URI</h5> <span><a href="http://hdl.handle.net/1721.1/1899">http://hdl.handle.net/1721.1/1899</a></span> </div> <div class="simple-item-view-journal item-page-field-wrapper"> <h5>Publisher</h5> <div>MIT Alfred P. 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