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Options

Edited By Lane Hughston

Overview

A comprehensive and enlightening journey through the past, present and future of option pricing.

Publish date: 1 Nov 1999

Availability: In stock

£80.00
OR

Book description

  • 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

Book details

ISBN
9781899332663
Publish date
1 Nov 1999
Format
Size
155mm x 235mm

Editor biography

Lane Hughston

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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