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)
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- On European option pricing under partial information.
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
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- A fuzzy approach to option pricing in a Lévy process setting
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- The likelihood of various stock market return distributions. I: Principles of inference
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- Asymptotics of implied volatility to arbitrary order
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Efficiently pricing barrier options in a Markov-switching framework
- American option pricing under GARCH diffusion model: an empirical study
- Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
- Variational inequalities and the pricing of American options
- Asymptotic proportion of arbitrage points in fractional binary markets
- Itô's stochastic calculus: its surprising power for applications
- On the pricing of American options
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- Efficient solution of a partial integro-differential equation in finance
- Pricing model of interest rate swap with a bilateral default risk
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- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- Asymptotic nonequivalence of GARCH models and diffusions
- Modeling and pricing long memory in stock market volatility
- Martingales and arbitrage in multiperiod securities markets
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- A variational inequality arising from American installment call options pricing
- Application of data clustering and machine learning in variable annuity valuation
- The option value of advanced R\&D
- A general version of the fundamental theorem of asset pricing
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- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
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- Econometric specification of stochastic discount factor models
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- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
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- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Nonparametric Methods in Continuous Time Model Specification
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
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- Optimal Stopping and the American Put
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
- Estimation of semiparametric locally stationary diffusion models
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Parametric estimation for the standard and geometric telegraph process observed at discrete times
- Spectral GMM estimation of continuous-time processes
- BENCHOP -- the benchmarking project in option pricing
- Long- and short-time behaviour of hypocoercive-type operators in infinite dimensions: An analytic approach
- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- Pricing Lookback Options and Dynamic Guarantees
- Alternative models for stock price dynamics.
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- Uncertain volatility and the risk-free synthesis of derivatives
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
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