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 Tagged: Work by Robert H. Litzenberger

Prices of State-Contingent Claims Implicit in Option Prices by Douglas T. Breeden and Robert H. Litzenberger 2026-11-05
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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.
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