Journal of Financial Economics Vol. 3 No. 1-2 1976
Option pricing
Abstract
Recent advances in the general equilibrium pricing of simple put and call options lay the foundation for the development of a general theory of the valuation of contingent claims assets. This paper provides a review of: (1) the development of the general equilibrium option pricing model by Black and Scholes, and the subsequent modifications of this model by Merton and others; (2) the empirical verification of these models; and (3) applications of these models to value other contingent claim assets such as the debt and equity of a levered firm and dual purpose mutual funds.
- DOI
- 10.1016/0304-405x(76)90019-2
- Volume
- 3
- Issue
- 1-2
- Pages
- 3-51
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref