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


volatility etfsdeviate deflifo fifo avcoarithmetic average return formulamacd histogram strategysummation x squaredhow to calculate variance using excelblack scholes model calculatorhow to calculate median in excelblack scholes formula with dividend yieldhedge fund tradersexcel normsdisthedge fund tradesexcel cash flow diagramfutures vs options differencedow divisoretf ticker listtotal sum of squares calculatorrelative strength calculatoroption delta hedginghow to interpret sharpe ratioarbitrage hedge fundnatural logarithm exceldefinition of sharpe ratiogeometric mean formula exceluxvywacc formularcall option gammabull call spread graphstatistics skewexponential moving average javawhat are the components of waccnatural log javaexcel var functionstandard dev calcinferential statistics calculatorwhat is the formula for sample varianceblack shoals modelcompute sample covariancesharpe ratio formula excelhow to calculate deviation in exceldetermining portfolio weightssharpes ratiolong straddle option strategysoros fund management websitecalculate median on exceloption skew explainedrsi meaning stockn d1 black scholesyahoo finance currency historical datavariance formula in excelvix sp500realized volatility calculationleveraged inverse vix etfblack scholes callblack schole formulavix etn listnormal distribution kurtosisdelta hedge optionsstandard deviation defhedge fund 13fformula to calculate in excelstock option collarhow to calculate the median in excelvix futures trading hoursoption payoff graphsstock standard deviation calculatorcall options profit calculatorweighted average inventory costing methodexcel cash flow diagramvix index bloombergtypes of kurtosisskewness and kurtosis values for normal distributionblack scholes model definitionoption spread calculatorexcel computation formulablack scholes option price calculatorskew formulamacd indicatorscalculation of market capitalization