Work

Filtered by: Derivatives & Options Pricingx

Black-Scholes: Robert Merton on the Options Pricing Model

Foreword to Financial Derivatives Pricing

The Derivatives Sourcebook. Foundations and Trends in Finance

A Simple Way to Value Stock Options

For the Last Time: Stock Options are an Expense

Footnote Reporting Distorts Impact of Stock Options

Options Should be Reflected in the Bottom Line

The Global Financial System Project

Applications of Option-Pricing Theory: Twenty-Five Years Later

Foreword to Mathematics of Derivative Securities

Foreword to Managing Derivative Risks

The Informational Role of Asset Prices: The Case of Implied Volatility

Implicit Labor Contracts Viewed as Options: A Discussion of ‘Insurance Aspects of Pensions’

The Returns and Risk of Alternative Put Option Portfolio Investment Strategies

The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory

Option Pricing When Underlying Stock Returns are Discontinuous

Theory of Rational Option Pricing

The Relationship between Put and Call Option Prices: Comment

Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions