Theory of rational option pricing

# Theory of rational option pricing > OpenAlex Metadata Hub · https://openalex.org/W1503295912 ## Bibliographic - **DOI:** 10.1142/9789812701022_0008 - **Year:** 2005 - **Citations:** 7445 - **Open Access:** No (closed) - **License:** — - **Source:** https://doi.org/10.1142/9789812701022_0008 ## Authors - Robert C. Merton ## Abstract AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put option oricinaRational option pricing along Black-Scholes linesAn alternative derivation of the Black-Scholes modelExtension of the model to include dividend payments and exercise price changesValuing an American put optionValuing the “down and-out” call optionValuing a callable warrantAppendix 1Appendix 2Referencesdiscussion: Option Pricing Theory and Its ApplicationsINTRODUCTIONTHE MARTINGALE APPROACH TO OPTION PRICINGThe SetupDynamic Spanning and the Martingale Representation TheoremSome GeneralizationsEXISTENCE AND PROPERTIES OF OPTIMAL STRATEGIESAPPLICATIONS TO CONTINGENT-CLAIM PRICINGNOTESREFERENCES ## Keywords Black–Scholes model, Dividend, Warrant, Valuation of options, Put option, Investment theory, Economics, Rational pricing, Geometric Brownian motion, Call option, Mathematical economics, Financial economics, Finite difference methods for option pricing, Capital asset pricing model, Finance, Volatility (finance) ## Concepts - Black–Scholes model - Dividend - Warrant - Valuation of options - Put option - Investment theory - Economics - Rational pricing - Geometric Brownian motion - Call option - Mathematical economics - Financial economics - Finite difference methods for option pricing - Capital asset pricing model - Finance - Volatility (finance) - Service (business) - Diffusion process - Economy --- *Metadata only — full text not imported unless Open Access license permits.*

Bài “Theory of rational option pricing” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex. Tóm lược học thuật (đã diễn giải): AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put option oricinaRational option pricing along Black-Scholes linesAn alternative derivation of the Black-Scholes modelExtension of the model to include dividend payments and exercise price changesValuing an American put optionValuing the “down and-out” call optionValuing a callable warrantAppendix 1Appendix 2Referencesdiscussion: Option Pricing Theory and Its ApplicationsINTRODUCTIONTHE MARTINGALE APPROACH TO OPTION PRICINGThe SetupDynamic Spanning and the Martingale Representation TheoremSome GeneralizationsEXISTENCE AND PROPERTIES OF OPTIMAL STRATEGIESAPPLICATIONS TO CONTINGENT-CLAIM PRICINGNOTESREFERENCES Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook. Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.