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Merton Merton (1973)
“Theory of Rational Option Pricing”Bell Journal of Economics and Management Science, 4
M. Rubinstein. (1974)
An aggregation theorem for securities marketsJournal of Financial Economics, 1
Nestor Gonzalez, R. Litzenberger, J. Rolfo (2009)
OF FINANCIAL AND QUANTITATIVE ANALYSIS June 1977 ON MEAN VARIANCE MODELS OF CAPITAL STRUCTURE AND THE ABSURDITY OF THEIR PREDICTIONS
M. Rubinstein. (1976)
The Valuation of Uncertain Income Streams and the Pricing of Options
R. Geske (1979)
THE VALUATION OF COMPOUND OPTIONSJournal of Financial Economics, 7
Merton Merton (1974)
“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”Journal of Finance, 29
S. Myers, S. Turnbull (1977)
CAPITAL BUDGETING AND THE CAPITAL ASSET PRICING MODEL: GOOD NEWS AND BAD NEWSJournal of Finance, 32
M. Brennan, Eduardo Schwartz (1977)
The Valuation of American Put OptionsJournal of Finance, 32
Gonzales Gonzales, Litzenberger Litzenberger, Rolfo Rolfo (1977)
“On Mean Variance Models of Capital Structure and the Absurdity of Their Predictions”Journal of Financial and Quantitative Analysis, 12
J. Aitchison, Jessica Brown (1958)
The Lognormal Distribution., 8
J. Cox, S. Ross (1976)
The valuation of options for alternative stochastic processesJournal of Financial Economics, 3
M. Rubinstein. (1976)
THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETSJournal of Finance, 31
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
Ingersoll Ingersoll (1977)
“A Contingent‐Claims Valuation of Convertible Securities”Journal of Financial Economics, 4
The Pricing of Contingent Claims in Discrete Time Models M.J. BRENNAN* THEESSENTIAL FEATURE OF modern option pricing theory is the derivation of risk neutral valuation relationships (RNVRs) for contingent claims. A contingent claim is an asset whose payoff depends upon the value of another âunderlyingâ asset, the value of which is exogenously determined: a valuation relationship is a formula relating the value of the contingent claim, or its derivatives, to the value of the underlying asset and other exogenous parameters.â If the valuation relationship is risk-neutral, it is compatible with the assumption of risk neutral investor preferences, under which all securities have the same expected rate of return. A risk neutral valuation relationship depends only upon potentially observable parameters and it is extremely significant that such a relationship can be derived from only weak assumptions about investor preferences, for, as Merton [lo] has observed: âAn exact formula for an asset price, based on observable variables only, is a rare finding in a general equilibrium model . . .â. RNVRs have been derived from two quite different general classes of model: the first class places no restrictions on investor preferences beyond the assumption of non-satiety, but assumes that asset
The Journal of Finance – Wiley
Published: Mar 1, 1979
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