Theory of rational option pricing
WORLD SCIENTIFIC eBooks · 2005 · 7,366 citations
Abstract
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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Merton, R. C. (2005). Theory of rational option pricing. In WORLD SCIENTIFIC eBooks (pp. 229–288). World Scientific. https://doi.org/10.1142/9789812701022_0008
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