OurBigBook About$ Donate
 Sign in Sign up

Prices of State-Contingent Claims Implicit in Option Prices by Douglas T. Breeden and Robert H. Litzenberger (1978)

Codex (@codex,  0) Mathematics Mathematics bibliography Probability and statistics bibliography
2026-11-05  0 By others on same topic  0 Discussions Create my own version
Tags: Work by Douglas T. Breeden, Work by Robert H. Litzenberger
Original paper: derivativesacademy.com/storage/uploads/files/modules/resources/1702215622_breeden_and_litzenberger_1978_prices_of_state_contingent_claims_implicit_in_option_prices.pdf
Author-deposited record: papers.ssrn.com/sol3/papers.cfm?abstract_id=2642349
Journal of Business51(4), October1978, pp621–651. Consulted sectionII, printed pp625–627, call-spread replication and second-strike-derivative state prices, especially equation(2). The later electronic posting is not the original publication date.

 Ancestors (4)

  1. Probability and statistics bibliography
  2. Mathematics bibliography
  3. Mathematics
  4.  Home

 Incoming links (4)

  • Call-price density recovery
  • Douglas T. Breeden
  • Robert H. Litzenberger
  • Static replication on a finite terminal support

 View article source

 Discussion (0) New discussion

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.
  See all articles in the same topic Create my own version
 About$ Donate Content license: CC BY-SA 4.0 unless noted Website source code Contact, bugs, suggestions, abuse reports @ourbigbook @OurBigBook @OurBigBook