Article1990

Options, Futures, and Other Derivative Securities.

1,227 citations0/0 files storedThe Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

Abstract

1. Introduction. 2. Futures Markets. 3. Forward and Futures Prices. 4. Interest Rate Futures. 5. Swaps. 6. Options Markets. 7. Properties of Stock Option Prices. 8. Trading Strategies Involving Options. 9. A Model of the Behavior of Stock Prices. 10. The Black-Scholes Analysis. 11. Options on Stock Indices, Currencies and Futures Contracts. 12. A General Approach to Pricing Derivative Securities. 13. Hedging Positions in Options and Other Derivative Securities. 14. Numerical Procedures. 15. Interest Rate Derivative Securities. 16. Alternatives to Black-Scholes for Option Pricing. 17. Credit Risk. 18. Exotic Options. 19. Review of Key Concepts.

Citations in this library

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Cited by

19965 Stochastic volatility 1997Monte Carlo methods for security pricing 1996Statistical aspects of ARCH and stochastic volatility 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 1993Real Options and Interactions with Financial Flexibility 2004Option Pricing Under a Double Exponential Jump Diffusion Model 1995Option pricing by Esscher transforms.2004Tools of the trade: the socio-technology of arbitrage in a Wall Street trading room

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