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Options Markets
Options Markets presents an authoritative collection of the most important articles and papers on derivatives published during the last 35 years. These three volumes offer a unique and convenient resource for the reader to review the most important research at the frontier of this rapidly expanding area of financial economics. Topics include the theory, pricing and empirical evidence on equity derivatives, fixed-income derivatives, exotics, real options, numerical methods and risk management.
More Information
Contributors
Contents
More Information
Options Markets presents an authoritative collection of the most important articles and papers on derivatives published during the last 35 years. These three volumes offer a unique and convenient resource for the reader to review the most important research at the frontier of this rapidly expanding area of financial economics. Topics include the theory, pricing and empirical evidence on equity derivatives, fixed-income derivatives, exotics, real options, numerical methods and risk management.
As a comprehensive and integrated collection of articles, Options Markets is an invaluable companion to intermediate and advanced textbooks on derivatives. The historical perspective provided in this collection and the distinctiveness of its articles will appeal to both the applied and the theoretical researcher seeking fresh insights into derivatives.
As a comprehensive and integrated collection of articles, Options Markets is an invaluable companion to intermediate and advanced textbooks on derivatives. The historical perspective provided in this collection and the distinctiveness of its articles will appeal to both the applied and the theoretical researcher seeking fresh insights into derivatives.
Contributors
71篇文章，可追溯到1964年至1999年
贡献者包括：F。Black，P.P。博伊尔（M.J. Brennan），J.C。Cox，D.Duffie，R.C。Merton，S.A。Ross，M。Rubinstein，M.S。斯科尔斯，E.S。施瓦茨
贡献者包括：F。Black，P.P。博伊尔（M.J. Brennan），J.C。Cox，D.Duffie，R.C。Merton，S.A。Ross，M。Rubinstein，M.S。斯科尔斯，E.S。施瓦茨
Contents
内容：
Volume I:
Acknowledgements
Introduction George M. Constantinides and A.G. Malliaris
PART I THE CLASSICS
1. Louis Bachelier (1964), ‘Theory of Speculation’
2. Paul A. Samuelson (1965), ‘Rational Theory of Warrant Pricing’ and ‘Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem of Mathematical Economics’
3. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
4. Robert C. Merton（1973），“理论选择理论定价”
PART II PEDAGOGIGAL REVIEWS
5.小克利福德·史密斯（Clifford W.
6. A.G. Malliaris（1983），“ITô金融决策中的微积分”
7. Robert C. Merton (1998), ‘Applications of Option-Pricing Theory: Twenty-Five Years Later’
8.Myron s斯科尔斯(1998),“强啡肽衍生品mic Environment’
PART III THEORETICAL FOUNDATIONS AND RISK-NEUTRAL VALUATION
9. John C. Cox and Stephen A. Ross (1976), ‘The Valuation of Options for Alternative Stochastic Processes’
10. Stephen A. Ross (1976), ‘Options and Efficiency’
11. George M. Constantinides（1978），“项目估值的市场风险调整”
12. J. Michael Harrison and David M. Kreps (1979), ‘Martingales and Arbitrage in Multiperiod Securities Markets’
13. J. Michael Harrison and Stanley R. Pliska (1981), ‘Martingales and Stochastic Integrals in the Theory of Continuous Trading’
14. Freddy Delbaen和Walter Schachermayer（1994），“资产定价基本定理的一般版本”
PART IV THE BINOMIAL TREE APPROACH
15. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’
16. Daniel B. Nelson和Krishna Ramaswamy（1990），“简单的二项式过程作为财务模型中的扩散近似”
17.马克·鲁宾斯坦（Mark Rubinstein）（1994），“隐含二项式树”
V部分随机波动率模型
18. James B. Wiggins (1987), ‘Option Values Under Stochastic Volatility: Theory and Empirical Estimates’
19. Steven L. Heston (1993), ‘A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options’
20. Marc Romano and Nizar Touzi (1997), ‘Contingent Claims and Market Completeness in a Stochastic Volatility Model’
Name Index
Volume II:
Acknowledgements
编辑对所有三卷的介绍出现在第I卷中
PART I OPTIONS ON FUTURES AND CURRENCIES
1. Fischer Black（1976），“商品合同的定价”
2. Mark B. Garman and Steven W. Kohlhagen (1983), ‘Foreign Currency Option Values’
PART II INTEREST-RATE DERIVATIVES
3. Oldrich Vasicek (1977), ‘An Equilibrium Characterization of the Term Structure’
4. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
5. Darrell Duffie and Rui Kan (1996), ‘A Yield-Factor Model of Interest Rates’
6. George M. Constantinides (1992), ‘A Theory of the Nominal Term Structure of Interest Rates’
7. Farshid Jamshidian (1989), ‘An Exact Bond Option Formula’
8.Thomas S.Y. Ho and Sang-Bin Lee (1986), ‘Term Structure Movements and Pricing Interest Rate Contingent Claims’
9. Fischer Black，Emanuel Derman和William Toy（1990），“一种单因素模型及其在国库券期权中的应用”
10. John Hull and Alan White (1990), ‘Pricing Interest-Rate-Derivative Securities’
11. David Heath, Robert Jarrow and Andrew Morton (1992), ‘Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation’
12. Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann (1997), ‘Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates’
第三部分的外来学
13.威廉·马格拉贝（William Margrabe）（1978），“将一种资产交换为另一种资产的选择价值”
14. René M. Stulz (1982), ‘Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications’
15. Robert Geske (1979), ‘The Valuation of Compound Options’
16. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), ‘Path Dependent Options: “Buy at the Low, Sell at the High”’
17. Antoine Conze和Viswanathan（1991），“依赖路径的选项：回溯选项的情况”
18. Hélyette Geman and Marc Yor (1996), ‘Pricing and Hedging Double-Barrier Options: A Probabilistic Approach’
PART IV REAL OPTIONS
19. Michael J. Brennan and Eduardo S. Schwartz (1985), ‘Evaluating Natural Resource Investments’
20. James L. Paddock, Daniel R. Siegel and James L. Smith (1988), ‘Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases’
21. Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1992), ‘Waiting to Invest: Investment and Uncertainty’
22. George M. Constantinides（1984），“具有个人税的最佳股票交易：对价格和异常一月的收益的影响”
23. Joseph T. Williams (1993), ‘Equilibrium and Options on Real Assets’
24. Steven R. Grenadier (1996), ‘The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets’
PART V EMPIRICAL EVIDENCE
25. Mark Rubinstein (1985), ‘Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978’
26. Gurdip Bakshi, Charles Cao and Zhiwu Chen (1997), ‘Empirical Performance of Alternative Option Pricing Models’
27. Bernard Dumas, Jeff Fleming and Robert E. Whaley (1998), ‘Implied Volatility Functions: Empirical Tests’
28. Yacine Aït-Sahalia and Andrew W. Lo (1998), ‘Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices’
29.杰里米•斯坦(1989), ‘Overreactions in the Options Market’
Name Index
Volume III:
Acknowledgements
编辑对所有三卷的介绍出现在第I卷中
第一部分定价美国选择
1. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’
2. Robert Geske和H.E.约翰逊（Johnson，1984年），“美国的PUT选项分析价值”
3. Giovanni Barone-Adesi and Robert E. Whaley (1987), ‘Efficient Analytic Approximation of American Option Values’
4. A. Bensoussan (1984), ‘On the Theory of Option Pricing’
PART II NUMERICAL METHODS
5.迈克尔·J·布伦南（Michael J.
6. Sanjiv Ranjan Das (1996), ‘Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes’
7. Phelim P. Boyle (1977), ‘Options: A Monte Carlo Approach’
8.Phelim Boyle, Mark Broadie and Paul Glasserman (1997), ‘Monte Carlo Methods for Security Pricing’
9. Phelim P. Boyle (1988), ‘A Lattice Framework for Option Pricing with Two State Variables’
10. Mark Broadie and Paul Glasserman (1997), ‘Pricing American-style Securities Using Simulation’
PART III TRADING AND HEDGING WITH TRANSACTION COSTS
11. Phelim P. Boyle和David Emanuel（1980），“离散调整的选项对冲”
12. Stephen Figlewski (1989), ‘Options Arbitrage in Imperfect Markets’
13. Hayne E. Leland (1985), ‘Option Pricing and Replication with Transactions Costs’
14. Bernard Bensaid，Jean-Philippe Lesne，HenriPagès和JoséScheinkman（1992），“带有交易成本的衍生资产定价”
15. Mark H.A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou (1993), ‘European Option Pricing with Transaction Costs’
16.乔治·M·康斯坦丁尼德（George M.
17. Sanford J. Grossman (1988), ‘An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies’
PART IV CREDIT RISK
18. Francis A. Longstaff and Eduardo S. Schwartz (1995), ‘A Simple Approach to Valuing Risky Fixed and Floating Rate Debt’
19.罗伯特·A·贾罗（Robert A.
20. Darrell Duffie and Kenneth J. Singleton (1997), ‘An Econometric Model of the Term Structure of Interest-Rate Swap Yields’
第五部分的风险价值
21. Darrell Duffie and Jun Pan (1997), ‘An Overview of Value at Risk’
22. Philippe Artzner，Freddy Delbaen，Jean-Marc Eber和David Heath（1999年），“风险连贯的衡量标准”
Name Index
Volume I:
Acknowledgements
Introduction George M. Constantinides and A.G. Malliaris
PART I THE CLASSICS
1. Louis Bachelier (1964), ‘Theory of Speculation’
2. Paul A. Samuelson (1965), ‘Rational Theory of Warrant Pricing’ and ‘Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem of Mathematical Economics’
3. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
4. Robert C. Merton（1973），“理论选择理论定价”
PART II PEDAGOGIGAL REVIEWS
5.小克利福德·史密斯（Clifford W.
6. A.G. Malliaris（1983），“ITô金融决策中的微积分”
7. Robert C. Merton (1998), ‘Applications of Option-Pricing Theory: Twenty-Five Years Later’
8.Myron s斯科尔斯(1998),“强啡肽衍生品mic Environment’
PART III THEORETICAL FOUNDATIONS AND RISK-NEUTRAL VALUATION
9. John C. Cox and Stephen A. Ross (1976), ‘The Valuation of Options for Alternative Stochastic Processes’
10. Stephen A. Ross (1976), ‘Options and Efficiency’
11. George M. Constantinides（1978），“项目估值的市场风险调整”
12. J. Michael Harrison and David M. Kreps (1979), ‘Martingales and Arbitrage in Multiperiod Securities Markets’
13. J. Michael Harrison and Stanley R. Pliska (1981), ‘Martingales and Stochastic Integrals in the Theory of Continuous Trading’
14. Freddy Delbaen和Walter Schachermayer（1994），“资产定价基本定理的一般版本”
PART IV THE BINOMIAL TREE APPROACH
15. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’
16. Daniel B. Nelson和Krishna Ramaswamy（1990），“简单的二项式过程作为财务模型中的扩散近似”
17.马克·鲁宾斯坦（Mark Rubinstein）（1994），“隐含二项式树”
V部分随机波动率模型
18. James B. Wiggins (1987), ‘Option Values Under Stochastic Volatility: Theory and Empirical Estimates’
19. Steven L. Heston (1993), ‘A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options’
20. Marc Romano and Nizar Touzi (1997), ‘Contingent Claims and Market Completeness in a Stochastic Volatility Model’
Name Index
Volume II:
Acknowledgements
编辑对所有三卷的介绍出现在第I卷中
PART I OPTIONS ON FUTURES AND CURRENCIES
1. Fischer Black（1976），“商品合同的定价”
2. Mark B. Garman and Steven W. Kohlhagen (1983), ‘Foreign Currency Option Values’
PART II INTEREST-RATE DERIVATIVES
3. Oldrich Vasicek (1977), ‘An Equilibrium Characterization of the Term Structure’
4. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
5. Darrell Duffie and Rui Kan (1996), ‘A Yield-Factor Model of Interest Rates’
6. George M. Constantinides (1992), ‘A Theory of the Nominal Term Structure of Interest Rates’
7. Farshid Jamshidian (1989), ‘An Exact Bond Option Formula’
8.Thomas S.Y. Ho and Sang-Bin Lee (1986), ‘Term Structure Movements and Pricing Interest Rate Contingent Claims’
9. Fischer Black，Emanuel Derman和William Toy（1990），“一种单因素模型及其在国库券期权中的应用”
10. John Hull and Alan White (1990), ‘Pricing Interest-Rate-Derivative Securities’
11. David Heath, Robert Jarrow and Andrew Morton (1992), ‘Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation’
12. Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann (1997), ‘Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates’
第三部分的外来学
13.威廉·马格拉贝（William Margrabe）（1978），“将一种资产交换为另一种资产的选择价值”
14. René M. Stulz (1982), ‘Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications’
15. Robert Geske (1979), ‘The Valuation of Compound Options’
16. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), ‘Path Dependent Options: “Buy at the Low, Sell at the High”’
17. Antoine Conze和Viswanathan（1991），“依赖路径的选项：回溯选项的情况”
18. Hélyette Geman and Marc Yor (1996), ‘Pricing and Hedging Double-Barrier Options: A Probabilistic Approach’
PART IV REAL OPTIONS
19. Michael J. Brennan and Eduardo S. Schwartz (1985), ‘Evaluating Natural Resource Investments’
20. James L. Paddock, Daniel R. Siegel and James L. Smith (1988), ‘Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases’
21. Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1992), ‘Waiting to Invest: Investment and Uncertainty’
22. George M. Constantinides（1984），“具有个人税的最佳股票交易：对价格和异常一月的收益的影响”
23. Joseph T. Williams (1993), ‘Equilibrium and Options on Real Assets’
24. Steven R. Grenadier (1996), ‘The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets’
PART V EMPIRICAL EVIDENCE
25. Mark Rubinstein (1985), ‘Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978’
26. Gurdip Bakshi, Charles Cao and Zhiwu Chen (1997), ‘Empirical Performance of Alternative Option Pricing Models’
27. Bernard Dumas, Jeff Fleming and Robert E. Whaley (1998), ‘Implied Volatility Functions: Empirical Tests’
28. Yacine Aït-Sahalia and Andrew W. Lo (1998), ‘Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices’
29.杰里米•斯坦(1989), ‘Overreactions in the Options Market’
Name Index
Volume III:
Acknowledgements
编辑对所有三卷的介绍出现在第I卷中
第一部分定价美国选择
1. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’
2. Robert Geske和H.E.约翰逊（Johnson，1984年），“美国的PUT选项分析价值”
3. Giovanni Barone-Adesi and Robert E. Whaley (1987), ‘Efficient Analytic Approximation of American Option Values’
4. A. Bensoussan (1984), ‘On the Theory of Option Pricing’
PART II NUMERICAL METHODS
5.迈克尔·J·布伦南（Michael J.
6. Sanjiv Ranjan Das (1996), ‘Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes’
7. Phelim P. Boyle (1977), ‘Options: A Monte Carlo Approach’
8.Phelim Boyle, Mark Broadie and Paul Glasserman (1997), ‘Monte Carlo Methods for Security Pricing’
9. Phelim P. Boyle (1988), ‘A Lattice Framework for Option Pricing with Two State Variables’
10. Mark Broadie and Paul Glasserman (1997), ‘Pricing American-style Securities Using Simulation’
PART III TRADING AND HEDGING WITH TRANSACTION COSTS
11. Phelim P. Boyle和David Emanuel（1980），“离散调整的选项对冲”
12. Stephen Figlewski (1989), ‘Options Arbitrage in Imperfect Markets’
13. Hayne E. Leland (1985), ‘Option Pricing and Replication with Transactions Costs’
14. Bernard Bensaid，Jean-Philippe Lesne，HenriPagès和JoséScheinkman（1992），“带有交易成本的衍生资产定价”
15. Mark H.A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou (1993), ‘European Option Pricing with Transaction Costs’
16.乔治·M·康斯坦丁尼德（George M.
17. Sanford J. Grossman (1988), ‘An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies’
PART IV CREDIT RISK
18. Francis A. Longstaff and Eduardo S. Schwartz (1995), ‘A Simple Approach to Valuing Risky Fixed and Floating Rate Debt’
19.罗伯特·A·贾罗（Robert A.
20. Darrell Duffie and Kenneth J. Singleton (1997), ‘An Econometric Model of the Term Structure of Interest-Rate Swap Yields’
第五部分的风险价值
21. Darrell Duffie and Jun Pan (1997), ‘An Overview of Value at Risk’
22. Philippe Artzner，Freddy Delbaen，Jean-Marc Eber和David Heath（1999年），“风险连贯的衡量标准”
Name Index
