OPTION PRICING WHEN THE UNDERLYING ASSET EARNS A BELOW-EQUILIBRIUM RATE OF RETURN - A NOTE

被引：81

作者：

MCDONALD, R ^{[1
]}

SIEGEL, D ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,KELLOGG GRAD SCH MANAGEMENT,CHICAGO,IL 60611

来源：

关键词：

D O I：

10.2307/2327682

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：261 / 265

页数：5

共 6 条

[1] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[3] MARKET RISK ADJUSTMENT IN PROJECT VALUATION [J].

CONSTANTINIDES, GM .

[4] THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

[5] THE PRICING OF COMMODITY-LINKED BONDS - DISCUSSION [J].

INGERSOLL, JE .

[6] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183