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The impact of option introduction on the conditional return distribution of underlying securities

✍ Scribed by Eileen F. St. Pierre

Book ID
109178124
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
786 KB
Volume
33
Category
Article
ISSN
0732-8516

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## Abstract The Margrabe formula is used extensively by theorists and practitioners not only on exchange options, but also on executive compensation schemes, real options, weather and commodity derivatives, etc. However, the crucial assumption of a bivariate normal distribution is not fully satisfi