The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Displaced Diffusion Option Pricing
Abstract
This paper develops a new option pricing formula that pushes the underlying source of risk back to the risk of individual assets of the firm. The formula simultaneously encompasses differential riskiness of the assets of the firm, their relative weights in determining the value of the firm, the effects of firm debt, and the effects of a dividend policy with both constant and random components. Although this setting considerably generalizes the Black‐Scholes [1] analysis, it nonetheless produces a formula via riskless arbitrage arguments that, given estimated inputs, is as easy to use as the Black‐Scholes formula.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Approximate option valuation for arbitrary stochastic processes
Jarrow, R., & Rudd, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90007-1 · Cited by 607
Firm-specific attributes and the cross-section of momentum☆
SAGI, J., & SEASHOLES, M. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2006.02.002 · Cited by 379
Option Pricing when the Variance is Changing
Johnson, H., & Shanno, D. (1987) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2330709 · Cited by 375
Metadata
- Authors
- RUBINSTEIN, M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1983-03
- Volume
- 38
- Issue
- 1
- Pages
- 213-217
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2137965449
- Cited by
- 247
- References
- 1
- FWCI
- 7.48
- Type
- journal article
- Language
- en
- Open access
- closed
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- RUBINSTEIN, M. (1983). Displaced Diffusion Option Pricing. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1983.tb03636.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
