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Theory of rational option pricing

In: Theory Of Valuation

Listed author(s):
  • Robert C. Merton

    (Assistant Professor of Finance, Massachusetts Institute of Technology, USA)

AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put option oricinaRational option pricing along Black-Scholes linesAn alternative derivation of the Black-Scholes modelExtension of the model to include dividend payments and exercise price changesValuing an American put optionValuing the “down and-out” call optionValuing a callable warrantAppendix 1Appendix 2Referencesdiscussion: Option Pricing Theory and Its ApplicationsINTRODUCTIONTHE MARTINGALE APPROACH TO OPTION PRICINGThe SetupDynamic Spanning and the Martingale Representation TheoremSome GeneralizationsEXISTENCE AND PROPERTIES OF OPTIMAL STRATEGIESAPPLICATIONS TO CONTINGENT-CLAIM PRICINGNOTESREFERENCES

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This chapter was published in:
  • Sudipto Bhattacharya & George M Constantinides (ed.), 2005. "Theory of Valuation," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5860, June.
  • This item is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Book Chapters with number 9789812701022_0008.
    Handle: RePEc:wsi:wschap:9789812701022_0008
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