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Derivatives in a Dynamic Environment

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  • Scholes, Myron S

Abstract

Prize Lecture to the memory of Alfred Nobel, December 9, 1997
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-370, June.
  • Handle: RePEc:aea:aecrev:v:88:y:1998:i:3:p:350-70
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    References listed on IDEAS

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    1. Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
    4. Scholes, Myron, 1976. "Taxes and the Pricing of Options," Journal of Finance, American Finance Association, vol. 31(2), pages 319-332, May.
    5. Scholes, Myron S, 1996. "Global Financial Markets, Derivative Securities, and Systemic Risks," Journal of Risk and Uncertainty, Springer, vol. 12(2-3), pages 271-286, May.
    6. Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1993. " Risk Management: Coordinating Corporate Investment and Financing Policies," Journal of Finance, American Finance Association, vol. 48(5), pages 1629-1658, December.
    7. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    8. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    9. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    10. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    11. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    12. Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," The Journal of Business, University of Chicago Press, vol. 51(4), pages 653-672, October.
    13. Merton H. Miller, 1989. "The Modigliani-Miller Propositions After Thirty Years," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(1), pages 6-18.
    14. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    15. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    16. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    17. Ohlson, James A & Garman, Mark B, 1980. " A Dynamic Equilibrium for the Ross Arbitrage Model," Journal of Finance, American Finance Association, vol. 35(3), pages 675-684, June.
    18. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, pages 75-89.
    19. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Stuart Holland & Teresa Carla Oliveira, 2013. "Missing Links: Hume, Smith, Kant and Economic Methodology," Economic Thought, World Economics Association, pages 1-46.
    2. Wassila Bensahel, 2010. "Une Creation Substantielle De La Valeur Adaptee Aux Entreprises Intensives En Immateriel," Post-Print hal-00479541, HAL.
    3. Michael Dietrich & Jackie Krafft, 2011. "Firm development as an integrated process: with evidence from the General Motors–Fisher Body case," Journal of Evolutionary Economics, Springer, pages 665-686.
    4. Carruthers, Bruce G., 2013. "Diverging derivatives: Law, governance and modern financial markets," Journal of Comparative Economics, Elsevier, pages 386-400.
    5. Giovanna Tagliabue, 2009. "The role of controls in the international financial crisis," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(3), pages 303-313, September.
    6. Donohoe, Michael P., 2015. "The economic effects of financial derivatives on corporate tax avoidance," Journal of Accounting and Economics, Elsevier, vol. 59(1), pages 1-24.
    7. Streissler, Erich W., 2001. "Globalizáció, tőkepiacok és az állam szerepe
      [Globalization, capital markets and the role of the state]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-17.
    8. Bellalah, Mondher, 2006. "On derivatives and information costs," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 30-51.
    9. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.

    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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