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The Pricing of Options and Corporate Liabilities
1973
Journal of Political Economy
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Liu's Stock Model Let X t be the bond price, and Y t the stock price. Assume that stock price follows a geometric canonical process. Then Liu[16] characterized the uncertain price dynamics as follows, where r is the riskless interst rate, e is the stock drift, and σ is the stock diffusion, and C t is the canonical process.
doi:10.1086/260062
fatcat:jhz34dceljaxfkqj6q4hzilzpu