Options: Classic Approaches to Pricing and Modelling
Risk Books, 1999 - Options (Finance) - 368 pages
A 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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Rational Theory of Warrant Pricing
The Relationship between Put and Call Option Prices
The Pricing of Options and Corporate Liabilities
12 other sections not shown
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