Jackwerth, Jens Carsten; Rubinstein, Mark - In: Derivative securities pricing and modelling, (pp. 123-153). 2012
How do stock prices evolve over time? The standard assumption of geometric Brownian motion, questionable as it has been right along, is even more doubtful in light of the recent stock market crash and the subsequent prices of U.S. index options. With the development of rich and deep markets in...