The pricing of options and corporate liabilities
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Publication:136004
DOI10.1086/260062zbMATH Open1092.91524OpenAlexW2077791698WikidataQ51845526 ScholiaQ51845526MaRDI QIDQ136004FDOQ136004
Authors: Fischer Black, Myron Scholes 
Publication date: May 1973
Published in: Journal of Political Economy (Search for Journal in Brave)
Full work available at URL: http://www.jstor.org/stable/1831029
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)
Cited In (only showing first 100 items - show all)
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- A Nonstandard Approach to Option Pricing
- A framework for valuing corporate securities
- Stochastic volatility, smile & asymptotics
- Bivariate normal mixture spread option valuation
- Lookback options with discrete and partial monitoring of the underlying price
- A new class of Bayesian semi-parametric models with applications to option pricing
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Are we using the wrong letters? An analysis of executive stock option Greeks
- Estimating the structural credit risk model when equity prices are contaminated by trading noises
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
- Convolutional autoregressive models for functional time series
- Optimal consumption and savings with stochastic income and recursive utility
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models
- Homotopy analysis method for option pricing under stochastic volatility
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Option pricing under a gamma-modulated diffusion process
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Implied and realized volatility: empirical model selection
- The super-replication theorem under proportional transaction costs revisited
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
- Hedging with temporary price impact
- The valuation of options on capacity with cost and demand uncertainty
- Generalized moment estimation of stochastic differential equations
- Valuation of power options under Heston's stochastic volatility model
- Estimating jump-diffusions using closed-form likelihood expansions
- Analytic models for parameter dependency in option price modelling
- A copula-based approach for generating lattices
- A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
- Option pricing model with sentiment
- Incomplete markets and derivative assets
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- \(hp\)-adaptive IPDG/TDG-FEM for parabolic obstacle problems
- An exact subexponential-time lattice algorithm for Asian options
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- A different approach for pricing Asian options
- European option pricing and hedging with both fixed and proportional transaction costs
- Evaluating volatility forecasts in option pricing in the context of a simulated options market
- Fractional motions
- Perfect option hedging and the hedge ratio
- Perfect option hedging and the hedge ratio
- Distribution-free option pricing
- Optimal environment management in the presence of irreversibilities
- Nonequilibrium geometric no-arbitrage principle and asset pricing theorem
- On option pricing under a completely random measure via a generalized Esscher transform
- On the numerical solution of nonlinear Black-Scholes equations
- Conservation laws for the Black-Scholes equation
- Arbitrage and equilibrium in economies with infinitely many commodities
- Pricing and hedging power options
- Estimation of agent-based models: The case of an asymmetric herding model
- A dynamic programming approach for pricing options embedded in bonds
- Computational aspects in applied stochastic control
- Estimation of risk-neutral densities using positive convolution approximation
- Financial options and statistical prediction intervals
- Rational Krylov methods in exponential integrators for European option pricing.
- Penalty methods for American options with stochastic volatility
- Robust pricing-hedging dualities in continuous time
- Polynomial approximation to option prices under regime switching
- Optimal delta-hedging under transactions costs
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- On Schrödinger type operators with unbounded coefficients: generation and heat kernel estimates
- A finite difference method for pricing European and American options under a geometric Lévy process
- Hedging options for a large investor and forward-backward SDE's
- Market entry, phased rollout or abandonment? A real option approach
- Basket option pricing and implied correlation in a one-factor Lévy model
- Differentiability and semismoothness properties of integral functions and their applications
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- Uncertain calculus with renewal process
- Instability of financial markets and preference heterogeneity
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- A continuous dependence result for ultraparabolic equations in option pricing
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- Robust portfolio optimization with copulas
- Static arbitrage bounds on basket option prices
- Matched asymptotic expansions in financial engineering
- Revealing the implied risk-neutral MGF from options: the wavelet method
- A framework for robust measurement of implied correlation
- Power penalty method for a linear complementarity problem arising from American option valuation
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- A new approach for option pricing under stochastic volatility
- Approximate inversion of the Black-Scholes formula using rational functions
- On the rate of convergence of the binomial tree scheme for American options
- New insights on testing the efficiency of methods of pricing and hedging American options
- Space-time adaptive finite difference method for European multi-asset options
- The valuation of unit-linked policies with or without surrender options
- The design of equity-indexed annuities
- The double Gaussian approximation for high frequency data
- Density estimation for nonlinear parametric models with conditional heteroscedasticity
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- A class of quadratic options for exchange rate stabilization
- A moving boundary approach to American option pricing
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