Khanna, Ajay; Madan, Dilip - In: Quantitative Finance 4 (2004) 1, pp. 55-63
This paper follows the insights of Black and Scholes (1973 J. Political Economy 81 637-54) and Merton (1973 Bell J. Economics Management Sci. 4 141-83) in contexts where their conclusions cannot be exactly obtained. Specifically, we consider an infinite activity Levy process with no continuous...