Both authors from the Graduate School of Business Administration, The University of Michigan. We thank Phelim Boyle, Robert Jarrow, Eric Kirzner, William Margarabe, Robert Merton, and Stuart Turnbull for helpful suggestions. Michael Jenkins, David Sauer, and Michael Weisbach provided excellent research assistance. The comments of an anonymous referee are gratefully acknowledged. This work was supported by summer research grants from the Graduate School of Business Administration at The University of Michigan. Any remaining errors are the authors' responsibility.
On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
Version of Record online: 30 APR 2012
© 1985 the American Finance Association
The Journal of Finance
Volume 40, Issue 1, pages 155–173, March 1985
How to Cite
BALL, C. A. and TOROUS, W. N. (1985), On Jumps in Common Stock Prices and Their Impact on Call Option Pricing. The Journal of Finance, 40: 155–173. doi: 10.1111/j.1540-6261.1985.tb04942.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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