Autors:

CiteWeb id: 19730000001

CiteWeb score: 31293

DOI: 10.1086/260062

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theoretical valuation formula for options is derived. Since almost all corporate liabilities can be viewed as combinations of options, the formula and the analysis that led to it are also applicable to corporate liabilities such as common stock, corporate bonds, and warrants. In particular, the formula can be used to derive the discount that should be applied to a corporate bond because of the possibility of default.

The publication "The Pricing of Options and Corporate Liabilities" is placed in the Top 100 of the best publications in CiteWeb. Also in the category Economics it is included to the Top 100. Additionally, the publicaiton "The Pricing of Options and Corporate Liabilities" is placed in the Top 100 among other scientific works published in 1973.
Links to full text of the publication: