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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- A new well-posed algorithm to recover implied local volatility
- Dynamics of implied volatility surfaces
- MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- The payoff distribution model: an application to dynamic portfolio insurance
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Laplace transforms and American options
- Jacobi rational approximation and spectral method for differential equations of degenerate type
- Classical ergodicity and modern portfolio theory
- The pricing of lookback options and binomial approximation
- The hexanomial lattice for pricing multi-asset options
- A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
- Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Resampling methods in econometrics
- Optimal statistical decisions about some alternative financial models
- On Cox processes and credit risky securities
- Tractable stochastic analysis in high dimensions via robust optimization
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Asset market equilibrium in infinite dimensional complete markets
- On arbitrages arising with honest times
- Affine fractional stochastic volatility models
- A fixed point method for the linear complementarity problem arising from American option pricing
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Group classification of a generalization of the Heath equation
- Deformed exponentials and applications to finance
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching
- Endpoints of multivalued nonexpansive mappings in geodesic spaces
- Realized range-based estimation of integrated variance
- Approximate solutions to second order parabolic equations. I: Analytic estimates
- Parameter estimation and bias correction for diffusion processes
- A brief survey on numerical methods for solving singularly perturbed problems
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Option pricing and Esscher transform under regime switching
- Insiders' hedging in a jump diffusion model
- On option pricing models in the presence of heavy tails
- Pricing American continuous-installment options under stochastic volatility model
- Boundary behavior and asymptotic behavior of solutions to a class of parabolic equations with boundary degeneracy
- Black-Scholes formula in subdiffusive regime
- On a free boundary problem for an American put option under the CEV process
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Common functional principal components
- The American put under transactions costs
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Option pricing when the regime-switching risk is priced
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and stochastic integrals in the theory of continuous trading
- Martingale representation and hedging policies
- Option hedging for semimartingales
- The European option with hereditary price structures
- Optimal portfolios for DC pension plans under a CEV model
- Valuing continuous-installment options
- Subsampling for heteroskedastic time series
- Nonparametric option pricing under shape restrictions
- On the functional estimation of jump-diffusion models.
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Lévy processes driven by stochastic volatility
- Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. I.
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Nonparametric inference of discretely sampled stable Lévy processes
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- Application of flocking mechanism to the modeling of stochastic volatility
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Option pricing and replication with transaction costs and dividends
- Risk vs. profit potential:
- Thermodynamic analogies in economics and finance: instability of markets
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- Approximation pricing and the variance-optimal martingale measure
- Stochastic stabilization of hybrid differential equations
- Nonparametric risk management and implied risk aversion
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Conservative delta hedging.
- Vector financial rogue waves
- Post-'87 crash fears in the S\&P 500 futures option market
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Numerical simulation of partial differential equations via local meshless method
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
- Adomian decomposition method for solving the diffusion-convection-reaction equations
- Group classification of a generalized Black-Scholes-Merton equation
- Exact pricing with stochastic volatility and jumps
- Real R\&D options with time-to-learn and learning-by-doing
- Symmetry analysis of a model for the exercise of a barrier option
- An ETD Crank-Nicolson method for reaction-diffusion systems
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- Asymptotic behavior of solutions to a class of semilinear parabolic equations with boundary degeneracy
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Multivariate asset price dynamics with stochastic covariation
- THE ENTROPY THEORY OF BOND OPTION PRICING
- THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
- THE GARCH OPTION PRICING MODEL
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Option Pricing With V. G. Martingale Components1
- Stochastic equity volatility related to the leverage effect
- An explicit finite difference approach to the pricing of barrier options
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