= Prices of State-Contingent Claims Implicit in Option Prices by Douglas T. Breeden and Robert H. Litzenberger
{c}
{tag=Work by Douglas T. Breeden}
{tag=Work by Robert H. Litzenberger}
{title2=1978}
Original paper: https://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: https://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.
Back to article page
