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


interpretation of kurtosisbull call spread graphblack scholes putsample mean formula excelwacc market valueusing natural log in excelsample deviation calculatordays calculator formula exceldelta gamma theta vega rhokurtosis in statisticsderivation of variance formulasigma squaredblack scholes formula put optionvelocityshares tvixhow to calculate mean average deviationstock intrinsic value formulareverting meanssp futures bloomberginterpretation of skewnessshortcut standard deviation formulamsft stock split historyrisk not in varcboe options quotessharpe ratio excelusing macdberkshire hathaway holdings changesultra short s&poption position simulatorcollar payoff diagramhow to read vixotm optionscomputational formula for the sample variancefx option pricercontinuously compounded returntheta formulablack scholes model formulaproshares ultraxiv vixhow calculate standard deviation in excelmeaning of rsi in stock marketsums of squares calculatorblack scholes tablenatural log javahow to calculate arithmetic densitycovariance formula statisticsoverbought stockoverbought stockwhat is a formula in excel definitionbutterfly spread payoff diagramformula for variance for ungrouped dataotm call optionoption straddle calculatorexcel calculate standard deviationvxx financescholes mertoncalculate median excelhow is dow jones industrial average calculatedannualized return calculator excelintraday mean reversionschole greek definitionhow to calculate weighted average inventorystock price volatility calculatoroption greeks vegaoption profit loss calculatorformulas of cost accountingsample excel formulasfinance yahoo msfttheta financegreek calculatorcboe rulesblack schole option pricing modelyahoo finance msftintrinsic value of a call optionvega greek letterproshares short s&p 500