## Options: Classic Approaches to Pricing and ModellingA selection of papers on options written between the 1960s and 1990s. It brings together writing from Black and Scholes, Samuelson, Hull and White and Margrabe as well as other leading theoreticians. |

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### Contents

Rational Theory of Warrant Pricing | 1 |

The Relationship between Put and Call Option Prices | 35 |

The Pricing of Options and Corporate Liabilities | 63 |

Copyright | |

12 other sections not shown

### Common terms and phrases

aggregate consumption American option American put option analysis arbitrage asset pricing model assumed assumptions Black and Scholes Black-Scholes equation Black-Scholes price boundary conditions call prices capital asset pricing cashflows coefficient common stock constant Cootner debt depend dividend dollar elementary claims equal equilibrium equity estimate European call option European option European warrant exercise price expected return expiration Financial Economics firm follows forward contract futures contract futures price given hedged position Hence implies increase interest rate investment investor Journal of Finance jump processes lemma market portfolio maturity Merton Monte Carlo Monte Carlo method obtain option price option value options on aggregate parameters payoff payouts perpetual warrant premium probability problem put and call put option put-call parity random variable rate of return rational risk risky Samuelson sell solution spot price standard deviation stochastic process structure Theorem theory tion variance rate volatility warrant price zero

### References to this book

Basel II im Wettstreit internationaler Regulierungsinteressen: Auswirkungen ... Sybille E. Gerhardt No preview available - 2005 |