Theory of Rational Option Pricing, Merton, 1973

Theory of Rational Option Pricing and Black-Scholes Model

Theory of Rational Option Pricing is a paper by Robert C. Merton, where Merton examines the option pricing methodology introduced by Fischer Black and Myron Scholes inĀ The Pricing of Options and Corporate Liabilities (1973). Merton provides an alternative derivation of the Black-Scholes formula that is valid under weaker assumptions and therefore more useable than the original (it is now known as the Black-Scholes Equation). The paper also provides several extensions of the Black-Scholes option pricing theory.

Theory of Rational Option Pricing was first published in The Bell Journal of Economics and Management Science, Vol. 4, No. 1. (Spring, 1973), pp. 141-183.

Theory of Rational Option Pricing PDF

If these links don’t work, try Google:


Related pages


option payoff calculatorbackwardation explainedskew definition mathsell stranglewhat is the formula for waccwhat does volatile mean in stocksultra vix etfintrinsic value stockswww cboe comwhat are some components of wacchow to solve standard deviation on calculatorskewness equationrelative standard deviation calculatorhow to calculate thetawarren buffett sec filingsskewness examplescalculating the intrinsic value of a stockmacro hedge fund strategyweighted average inventory calculatorstock option intrinsic valuederivation of standard deviation formulacalculate standard deviation on calculatorhow to calculate sample variance in excelput straddlebarclays vxxaapl historical pricesstock price volatility formulastock average down calculatorvix inverse etf 2xblack shoals modeltheta formulaannualizing volatilityvix short etfatr formulavix white paperinterpretation of skewness and kurtosisj welles wilderoptions delta hedgingvix trading hoursstandard deviation excel templatepositive kurtosisblack sholes modelcalculate the sample variancedelta of put optionpercentile coefficient of kurtosisvxv indexbackwardation curveoption calculator excelkurtosis formulaputting in excel formulasimplied volatility formulamsft yahoo financekurtosis values interpretationetf correlationcot cftclist of all etfsstock standard deviation calculatoriron condor riskotm optionssimple excel formulasweighted average calculator accountingoptions straddle calculatoryahoo stock symbol searchcall put option graphcreating formulas in excelvix futures tickerhow is dow jones industrial average calculatedblackscholes formulasample size standard deviation calculatorkurtosis calculationtheta of an optioneasy standard deviation calculatoroption implied volatility calculatoroption strategy calculator