F. Black, and M. Scholes. Journal of Political Economy, 81 (3):
637--654(1973)
Abstract
If options are correctly priced in the market, it
should not be possible to make sure profits by creating
portfolios of long and short positions in options and
their underlying stocks. Using this principle, a
theoretical valuation formula for options is derived.
Since almost all corporate liabilities can be viewed as
combinations of options, the formula and the analysis
that led to it are also applicable to corporate
liabilities such as common stock, corporate bonds, and
warrants. In particular, the formula can be used to
derive the discount that should be applied to a
corporate bond because of the possibility of default.
First paper on Black-Scholes options pricing formula
Robert C. Merton and Myron S. Scholes, Nobel Prize
1997, for a new method to determine the value of
derivatives.
%0 Journal Article
%1 BlackScholes1973
%A Black, Fisher
%A Scholes, Myron S.
%D 1973
%J Journal of Political Economy
%K imported
%N 3
%P 637--654
%T The Pricing of Options and Corporate Liabilities
%V 81
%X If options are correctly priced in the market, it
should not be possible to make sure profits by creating
portfolios of long and short positions in options and
their underlying stocks. Using this principle, a
theoretical valuation formula for options is derived.
Since almost all corporate liabilities can be viewed as
combinations of options, the formula and the analysis
that led to it are also applicable to corporate
liabilities such as common stock, corporate bonds, and
warrants. In particular, the formula can be used to
derive the discount that should be applied to a
corporate bond because of the possibility of default.
@article{BlackScholes1973,
abstract = {If options are correctly priced in the market, it
should not be possible to make sure profits by creating
portfolios of long and short positions in options and
their underlying stocks. Using this principle, a
theoretical valuation formula for options is derived.
Since almost all corporate liabilities can be viewed as
combinations of options, the formula and the analysis
that led to it are also applicable to corporate
liabilities such as common stock, corporate bonds, and
warrants. In particular, the formula can be used to
derive the discount that should be applied to a
corporate bond because of the possibility of default.},
added-at = {2007-06-26T15:08:05.000+0200},
author = {Black, Fisher and Scholes, Myron S.},
biburl = {https://www.bibsonomy.org/bibtex/21b438aef4ace91b31c5b3864af3925ac/gilles.daniel},
comment = {First paper on Black-Scholes options pricing formula
Robert C. Merton and Myron S. Scholes, Nobel Prize
1997, for a new method to determine the value of
derivatives.},
interhash = {29c4e539e1156910620d127dac78c286},
intrahash = {1b438aef4ace91b31c5b3864af3925ac},
journal = {Journal of Political Economy},
keywords = {imported},
number = 3,
pages = {637--654},
timestamp = {2007-06-26T15:08:07.000+0200},
title = {The Pricing of Options and Corporate Liabilities},
volume = 81,
year = 1973
}