SUMMARY

• Edited collection of the classic contributions to options pricing

• Selected and introduced by Lane Hughston, Consultant Editor of Vasicek&Beyond

• Encyclopaedic coverage on all major pricing and valuation theories and methods

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  TABLE OF CONTENTS

CONTENTS

1 Rational Theory of Warrant Pricing
Paul A. Samuelson

2 The Relationship between Put and Call Option Prices
Hans R. Stoll

3 The Pricing of Options and Corporate Liabilities
Fischer Black and Myron S. Scholes

4 Theory of Rational Option Pricing
Robert C. Merton

5 On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
Robert C. Merton

6 Option Pricing When Underlying Stock Returns are Discontinuous
Robert C. Merton

7 The Valuation of Options for Alternative Stochastic Processes
John C. Cox and Stephen A. Ross

8 The Pricing of Commodity Contracts
Fischer Black

9 The Valuation of Warrants: Implementing a New Approach
Eduardo S. Schwartz

10 Options: A Monte Carlo Approach
Phelim P. Boyle

11 Prices of State-Contingent Claims Implicit in Option Prices
Douglas T. Breeden and Robert H. Litzenberger

12 The Value of an Option to Exchange One Asset for Another
William Margrabe

13 The Valuation of Compound Options
Robert Geske

14 Foreign Currency Option Values
Mark B. Garman and Steven W. Kohlhagen

15 The Pricing of Options on Assets with Stochastic Volatilities
John Hull and Alan White

16 A Pricing Method for Options Based on Average Asset Values
A. G. Z. Kemna and A. C. F. Vorst

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  CONTRIBUTORS

Paul A. Samuelson; Hans R. Stoll; Fischer Black and Myron S. Scholes; Robert C. Merton; John C. Cox and Stephen A. Ross; Eduardo S. Schwartz; Phelim P. Boyle; Douglas T. Breeden and Robert H. Litzenberger; William Margrabe; Robert Geske; Mark B. Garman and Steven W. Kohlhagen; John Hull and Alan White; A. G. Z. Kemna and A. C. F. Vorst
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