Derivatives in a Dynamic Environment
Prize Lecture to the memory of Alfred Nobel, December 9, 1997
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Volume (Year): 88 (1998)
Issue (Month): 3 (June)
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- Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 90(1), pages 75-89.
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
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- Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
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- 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.
- 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.
- Merton, Robert C., 1973.
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- 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 449-70, May.
- Scholes, Myron, 1976. "Taxes and the Pricing of Options," Journal of Finance, American Finance Association, vol. 31(2), pages 319-32, May.
- Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
- Miller, Merton H, 1988.
"The Modigliani-Miller Propositions after Thirty Years,"
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American Economic Association, vol. 2(4), pages 99-120, Fall.
- Merton H. Miller, 1989. "The Modigliani-Miller Propositions After Thirty Years," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(1), pages 6-18.
- 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.
- 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 621-51, October.
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