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REFERENCES

  • 1
    Fischer, Black. “Forecasting Variance of Stock Prices for Options Trading and Other Purposes,” Seminar on the Analysis of Security Prices, University of Chicago, November, 1975.
  • 2
    Fischer, Black and Myron, Scholes. “A Theoretical Valuation Formula for Options, Warrants, and Other Securities,” Financial Note No. 16B, Associates in Finance, October, 1970.
  • 3
    Fischer, Black and Fischer, Black. “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, No. 3, MayJune, 1973.
  • 4
    Michael J. Brennan and Eduardo S. Schwartz. “Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion,” Working Paper No. 336, University of British Columbia, October, 1975.
  • 5
    John C. Cox and Stephen A. Ross. “The Pricing of Options for Jump Processes,” Rodney L. White Center Working Paper 2–75, University of Pennsylvania, April, 1975.
  • 6
    John C. Cox and John C. Cox. “The Valuation of Options for Alternative Stochastic Processes,” Journal of Financial Economics, Vol. 3, Nos. 1–2, JanuaryMarch, 1976.
  • 7
    Jonathan E. Ingersoll, Jr. “A Contingent Claims Evaluation of Convertible Bonds and the Optimal Policies for Call and Conversion,” Ph.D. dissertation, Massachusetts Institute of Technology, February, 1976.
  • 8
    Robert C. Merton. “The Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, Vol. 4, No. 1, Spring, 1973.
  • 9
    Robert C. Merton. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, Vol. 29, No. 2, May, 1974.
  • 10
    Robert C. Merton. “Option Pricing When Underlying Stock Returns are Discontinuous,” Journal of Financial Economics, Vol. 3, Nos. 1–2, JanuaryMarch, 1976.
  • 11
    Stephen A. Ross. “Options and Efficiency,” Quarterly Journal of Economics, Vol. 90, No. 1, February, 1976.