Options Markets, Volume 1
George M. Constantinides, A. G. Malliaris
Edward Elgar, Jan 1, 2001 - Options (Finance) - 1936 pages
Options Markets presents an authoritative collection of the most important articles and papers on derivatives published during the last 35 years. These three volumes offer a unique and convenient resource for the reader to review the most important research at the frontier of this rapidly expanding area of financial economics. Topics include the theory, pricing and empirical evidence on equity derivatives, fixed-income derivatives, exotics, real options, numerical methods and risk management.
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Fischer Black and Myron Scholes 1973 The Pricing of Options
A Review Journal
A G Malliaris 1983 Itos Calculus in Financial Decision Making
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American options analysis applications arbitrage asset pricing assumed assumption Black and Scholes Black-Scholes model Brownian motion C.W. Smith call option call price capital centimes common stock constant contango contingent claim convex Cootner defined derivative differential equation diffusion discount distribution dividend equal equilibrium equivalent martingale measure European call example exercise price expected return expiration date Financial Economics finite firm follows formula function futures contract hedge portfolio Hence implied volatilities integrands interest rate interval investors Itd's Journal of Finance jump lemma LOUIS BACHELIER martingale mathematical maturity Merton option pricing option pricing model option value option-pricing paper payouts positive premium probability problem proof put option random Review risk risk-neutral riskless Ross Samuelson satisfies selling semi-martingale sequence solution stochastic integrals stochastic process stochastic volatility stock price Theorem THEORY OF SPECULATION tion transaction costs underlying asset valuation Valuation of options variables warrant price Wiener process zero