OPTION ARBITRAGE AND STRATEGY WITH LARGE PRICE CHANGES

[1] VALUING CORPORATE SECURITIES - SOME EFFECTS OF BOND INDENTURE PROVISIONS [J]. JOURNAL OF FINANCE, 1976, 31 (02) : 351 - 367

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[3] Black F., 1972, STUDIES HIST CAPITAL

[4] Cox J., 1975, NOTES OPTION PRICING, V1

[5] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 145 - 166

[6] Fama E., 1965, J BUS, V38, P84

[7] INFINITELEY DIVISIBLE DISTRIBUTIONS AND BESSEL FUNCTIONS ASSOCIATED WITH RANDOM WALKS [J]. SIAM JOURNAL ON APPLIED MATHEMATICS, 1966, 14 (04) : 864 - &

[8] Gale D., 1965, MATH ANN, V159, P81, DOI 10.1007/BF01360282

[9] THE VARIATION OF CERTAIN SPECULATIVE PRICES [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 394 - 419

[10] RISKY DEBT, JUMP-PROCESSES, AND SAFETY COVENANTS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (03) : 281 - 307

[1] VALUING CORPORATE SECURITIES - SOME EFFECTS OF BOND INDENTURE PROVISIONS [J]. JOURNAL OF FINANCE, 1976, 31 (02) : 351 - 367

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[3] Black F., 1972, STUDIES HIST CAPITAL

[4] Cox J., 1975, NOTES OPTION PRICING, V1

[5] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 145 - 166

[6] Fama E., 1965, J BUS, V38, P84

[7] INFINITELEY DIVISIBLE DISTRIBUTIONS AND BESSEL FUNCTIONS ASSOCIATED WITH RANDOM WALKS [J]. SIAM JOURNAL ON APPLIED MATHEMATICS, 1966, 14 (04) : 864 - &

[8] Gale D., 1965, MATH ANN, V159, P81, DOI 10.1007/BF01360282

[9] THE VARIATION OF CERTAIN SPECULATIVE PRICES [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 394 - 419

[10] RISKY DEBT, JUMP-PROCESSES, AND SAFETY COVENANTS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (03) : 281 - 307