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Article

The Second Partial Derivative of Option Price with Respect to the Strike: A Historical Reminiscence

Heinz Zimmermann
The Journal of Derivatives Spring 2018, 25 (3) 81-87; DOI: https://doi.org/10.3905/jod.2018.25.3.081
Heinz Zimmermann
is a professor of finance in the Department of Economics and Business at the University of Basel in Basel, Switzerland
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Article Information

vol. 25 no. 3 81-87
DOI 
https://doi.org/10.3905/jod.2018.25.3.081

Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online February 26, 2018.

Copyright & Usage 
© 2018 Pageant Media Ltd

Author Information

  1. Heinz Zimmermann
    1. is a professor of finance in the Department of Economics and Business at the University of Basel in Basel, Switzerland. (heinz.zimmermann{at}unibas.ch)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
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The Journal of Derivatives: 25 (3)
The Journal of Derivatives
Vol. 25, Issue 3
Spring 2018
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The Second Partial Derivative of Option Price with Respect to the Strike: A Historical Reminiscence
Heinz Zimmermann
The Journal of Derivatives Feb 2018, 25 (3) 81-87; DOI: 10.3905/jod.2018.25.3.081

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The Second Partial Derivative of Option Price with Respect to the Strike: A Historical Reminiscence
Heinz Zimmermann
The Journal of Derivatives Feb 2018, 25 (3) 81-87; DOI: 10.3905/jod.2018.25.3.081
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  • Article
    • Abstract
    • OPTIONS AND STATE PRICES: A REVIEW
    • BLACK AND THE DIRAC DELTA FUNCTION
    • BRONZIN: DIFFERENTIATION OF INTEGRALS
    • BACHELIER
    • DISCUSSION AND SUMMARY
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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