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Cited by 7,161

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Theory of rational option pricing

Merton, Robert C.·2005·Theory of Valuation
DOI 10.1142/9789812701022_0008
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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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Metadata

Authors
Merton, R. C.
Venue
Theory of Valuation
Publisher
WORLD SCIENTIFIC
Published
2005-07
Pages
229-288
DOI
10.1142/9789812701022_0008
OpenAlex
W1503295912
Cited by
7,161
References
0
FWCI
1035.32
Type
book chapter
Language
en
Open access
closed

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CoChat. (2026). Citation check: Theory of rational option pricing. https://app.cochat.ai/papers/10.1142/9789812701022_0008
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Merton, R. C. (2005). Theory of rational option pricing. Theory of Valuation. https://doi.org/10.1142/9789812701022_0008

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Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.