Samuelson, P.A.
(1965): Rational Theory of Warrant Price Industrial Management Review, Spring 1965, pp.13-39
The following papers/books selection, covers important aspects of the
financial options theory evolution.
In this page, the papers are in chronological order.
OBS: The links are not going to the comments yet (the addition of
comments is a planned future improvement).
Samuelson, P.A.
(1965): Rational Theory of Warrant Price
Industrial Management Review, Spring 1965, pp.13-39
Black, F. &
M. Scholes (1973): The Pricing of Options
and Corporate Liabilities
Journal of Political Economy, no 81, pp.637-659
Merton, R.C.
(1973): Theory of Rational Option Pricing
Bell Journal of Economics and Management Science, no 4, Spring 1973,
pp.141-183
Black, F.
(1976): The Pricing of Commodity Contracts
Journal of Financial Economics, vol.3, January/March 1976, pp.167-179
Cox, J.C. &
A. Ross (1976):
The Valuation of Options for Alternative
Stochastic Processes
Journal of Financial Economics, vol.3, January/March 1976, pp. 145-166
Merton, R.C.
(1976):
Option Pricing when Underlying Stock Returns Are
Discontinuous
Journal of Financial Economics no 3, pp. 125-144
Smith Jr., C.W.
(1976): Option Pricing: A Review
Journal of Financial Economics, vol. 3, January/March 1976, pp.3-51
Vasicek, O.
(1977): An Equilibrium Characterization of Term
Structure
Journal of Financial Economics, vol. 5, November 1977, pp.177-188
Merton, R.C.
(1977):
On the Pricing of Contingent Claims and the
Modigliani-Miller Theorem
Journal of Financial Economics, no 5, 1977, pp.241-249
Margrabe, W.
(1978): The Value of an Option to Exchange One
Asset for Another
Journal of Finance, vol.33, no 1, March 1978, pp.177-186
Geske, R.
(1979): The Valuation of Compound Options
Journal of Financial Economics, no 7, 1979, pp.63-81
Harrison, J.M. &
D.M. Kreps (1979): Martingales and
Arbitrage in Multiperiod Securities Markets
Journal of Economic Theory, vol.20, June 1979, pp.381-408
Cox, J.C. &
S.A. Ross & M. Rubinstein (1979):
Option Pricing: A Simplified Approach
Journal of Financial Economics, no 7, 1979, pp.229-263
Cox, J.C. &
M. Rubinstein (1985): Options Markets
Prentice Hall, Inc., 1985 (textbook)
Ingersoll, Jr.,
J.E. (1987): Theory of Financial Making
Rowman & Littlefield Publishers, Inc., 1987, 474 pp. (textbook)
Rubinstein, M.
(1987): Derivative Assets Analysis
Economic Perspectives, vol.1, no 2, Fall 1987, pp.73-93
Varian, H.R.
(1987): The Arbitrage Principle in Financial
Economics
Journal of Economic Perspectives, vol.1, no 2, Fall 1987, pp.55-72
Hull, J. C.
(1993): Options, Futures, and Other Derivatives
Securities
Prentice Hall, 2a ed. 1993, Englewood Cliffs, NJ (textbook)
Back to the Bibliographical Resources
Back to Contents (the main page)
Samuelson,
P.A. (1965): Rational Theory of Warrant Price
.....
Back to Financial Options Classic Papers
Black, F. &
M. Scholes (1973): The Pricing of Options and Corporate
Liabilities
.....
Back to Financial Options Classic Papers
Merton,
R.C. (1973): Theory of Rational Option Pricing
.....
Back to Financial Options Classic Papers
Black, F.
(1976): The Pricing of Commodity Contracts
.....
Back to Financial Options Classic Papers
Cox, J.C. &
A. Ross (1976):
The Valuation of Options for Alternative Stochastic Processes
.....
Back to Financial Options Classic Papers
Smith Jr.,
C.W. (1976): Option Pricing: A Review
.....
Back to Financial Options Classic Papers
Merton,
R.C. (1977):
On the Pricing of Contingent Claims and the Modigliani-Miller Theorem
.....
Back to Financial Options Classic Papers
Margrabe,
W. (1978):
The Value of an Option to Exchange One Asset for Another
.....
Back to Financial Options Classic Papers
Geske, R.
(1979): The Valuation of Compound Options
.....
Back to Financial Options Classic Papers
Rubinstein,
M. (1987):
Derivative Assets Analysis
.....
Back to Financial Options Classic Papers
Varian,
H.R. (1987): The Arbitrage Principle in Financial Economics
.....
Back to Financial Options Classic Papers
Hull, J.
C. (1993): Options, Futures, and Other Derivatives Securities
.....
Back to Financial Options Classic Papers
..........
Back to the Bibliographical Resources
Back to Contents (the main page)