The Wharton School of the University of Pennsylvania. I am grateful for the comments of Avi Bick, Michael Brennan, Chi-fu Huang, Ravi Jagannathan, Peter Kempthorne, Andy Lo, Francis Longstaff, Robert Whitelaw, and seminar participants at the Australian Graduate School of Management, Melbourne Graduate School of Managment, MIT, Wharton, University of British Columbia, and UCLA.
Option Prices and the Underlying Asset's Return Distribution
Version of Record online: 30 APR 2012
© 1991 the American Finance Association
The Journal of Finance
Volume 46, Issue 3, pages 1045–1069, July 1991
How to Cite
GRUNDY, B. D. (1991), Option Prices and the Underlying Asset's Return Distribution. The Journal of Finance, 46: 1045–1069. doi: 10.1111/j.1540-6261.1991.tb03776.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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