= Robert H. Litzenberger
{c}
Robert H. Litzenberger studied state-contingent claim prices with <Douglas T. Breeden>. Their call-spread argument relates derivatives of <call option> prices with respect to strike to state prices. Under suitable smoothness, the second derivative yields a discounted density, providing a bridge between observable <option pricing> and the pricing of narrow ranges of future asset values.<Prices of State-Contingent Claims Implicit in Option Prices by Douglas T. Breeden and Robert H. Litzenberger>[Section II, pages 625–627 and equation (2)]{ref}
Back to article page
