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THE VALUATION OF AMERICAN PUT OPTIONS · Study

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ArticleTHE VALUATION OF AMERICAN PUT OPTIONS

Robert C. Merton1977

Article1977

THE VALUATION OF AMERICAN PUT OPTIONS

Robert C. Merton · Michael John Brennan · Eduardo S. Schwartz

504 citations·0/0 files stored·The Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES 1972The Valuation of Option Contracts and a Test of Market Efficiency

Cited by

1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1990Variational inequalities and the pricing of American options 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options 1982Option Prices as Predictors of Equilibrium Stock Prices 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis 1991Option Pricing With V. G. Martingale Components1 1998Randomization and the American Put 1981Standard deviations implied in option prices as predictors of future stock price variability

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1978The information content of option prices and a test of market efficiencyarticle · 5 shared references 1982Option Prices as Predictors of Equilibrium Stock Pricesarticle · 5 shared references 1982Valuation of American call options on dividend-paying stocksarticle · 5 shared references 199520 Testing option pricing modelschapter · 5 shared references 1978COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIAarticle · 5 shared references 1980Trading costs for listed optionsarticle · 5 shared references

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Year1977

Typearticle

Published1977-05-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations504

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1540-6261.1977.tb03284.x

openalex_workW2115261391

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