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The genesis of the Black-Scholes option pricing formula
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The genesis of the Black-Scholes option pricing formula (2008)The genesis of the Black-Scholes option p…The Self-Fulfilling Prophecy (2016)The Self-Fulfilling ProphecyHow the ECB and the US Fed set interest rates (2007)How the ECB and the US Fed se…Theory of rational option pricing (2005)Theory of rational option pri…The Free Press (2002)The Free PressInventing Money: The Story of Long-Term Capital Management and the Legends Behind It (1999)Inventing Money: The Story of…Financial Calculus: An Introduction to Derivative Pricing. (1997)Financial Calculus: An Introd…Derivatives in a Dynamic Environment (1997)Derivatives in a Dynamic Envi…Capital Ideas: The Improbable Origins of Modern Wall Street. (1992)Capital Ideas: The Improbable…Technical Change and Economic Theory. (1989)Technical Change and Economic…How we came up with the option formula (1989)How we came up with the optio…The Nature of the Innovative Process (1988)The Nature of the Innovative …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Theory of Speculation (1964)Theory of SpeculationEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Strategic management and economics (1991)Children's Adjustment to Divorce: Theories, Hypotheses, and Empirical Support (1993)Staying alive: Evolution, culture, and women's intrasexual aggression (1999)An Equation and its Worlds (2003)Defining Risk (2004)Is Economics Performative? Option Theory and the Construction of Derivatives Markets (2006)STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Biased assimilation and attitude polarization: The effects of prior theories on subsequently considered evidence. (1979)Social stigma and self-esteem: The self-protective properties of stigma. (1989)Intrinsic and Extrinsic Motivation (2003)An Introduction to Varieties of Capitalism (2001)Varieties of Capitalism (2001)The determinants of national innovative capacity (2002)Industrial districts as ‘learning regions’: A condition for prosperity (1996)Repairing innovation defectiveness in tourism (2002)Territorial Innovation Models: A Critical Survey (2003)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1989Technical Change and Economic Theory.4,041 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2002The Free Press1,671 cited
  • 2016The Self-Fulfilling Prophecy1,371 cited
  • 1988The Nature of the Innovative Process1,003 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1992Capital Ideas: The Improbable Origins of Modern Wall Street.452 cited
  • 1997Financial Calculus: An Introduction to Derivative Pricing.361 cited
  • 1964Theory of Speculation301 cited
  • 1999Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It170 cited
  • 1989How we came up with the option formula132 cited
  • 2007How the ECB and the US Fed set interest rates88 cited
  • 1997Derivatives in a Dynamic Environment83 cited

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