TY - JOUR
TI - The Pricing of Options and Corporate Liabilities
T2 - Journal of Political Economy
IS - 3
KW - option pricing
KW - portfolio analysis
KW - stock market
KW - valuation
KW - анализ портфеля
KW - опционная цена
KW - оценка стоимости
KW - рынок ценных бумаг
AB - 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.
AU - Black, Fisher
AU - Scholes, Myron
UR - http://ecsocman.hse.ru/text/19029793/
PY - 1973
SP - 637-654
M2 - 637
VL - 81
SN -
N1 -
LA - EN
CY -
PB -
M3 -
LB -
VL -
ER -