Options Markets

by George M. Constantinides (Editor), A.G. Malliaris (Editor)

Overview

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.

Product Details

ISBN-13:	9781840640144
Publisher:	Edward Elgar Publishing
Publication date:	03/26/2001
Series:	The International Library of Critical Writings in Financial Economics series , #6
Edition description:	Reprint
Pages:	1936
Product dimensions:	6.62(w) x 9.62(h) x (d)

About the Author

Edited by George M. Constantinides, Leo Melamed Professor of Finance, Graduate School of Business, University of Chicago, US and A.G. Malliaris, Walter F. Mullady Sr Professor of Business Administration, Department of Economics and Department of Finance, Loyola University Chicago, US

Table of Contents

Contents:
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), ‘Theory of Rational Option Pricing’
PART II PEDAGOGIGAL REVIEWS
5. Clifford W. Smith, Jr. (1976), ‘Option Pricing: A Review’
6. A.G. Malliaris (1983), ‘Itô’s Calculus in Financial Decision Making’
7. Robert C. Merton (1998), ‘Applications of Option-Pricing Theory: Twenty-Five Years Later’
8. Myron S. Scholes (1998), ‘Derivatives in a Dynamic 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), ‘Market Risk Adjustment in Project Valuation’
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 and Walter Schachermayer (1994), ‘A General Version of the Fundamental Theorem of Asset Pricing’
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 and Krishna Ramaswamy (1990), ‘Simple Binomial Processes as Diffusion Approximations in Financial Models’
17. Mark Rubinstein (1994), ‘Implied Binomial Trees’
PART V STOCHASTIC VOLATILITY MODELS
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
An introduction by the editors to all three volumes appears in volume I
PART I OPTIONS ON FUTURES AND CURRENCIES
1. Fischer Black (1976), ‘The Pricing of Commodity Contracts’
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 and William Toy (1990), ‘A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options’
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’
PART III EXOTICS
13. William Margrabe (1978), ‘The Value of an Option to Exchange One Asset for Another’
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 and Viswanathan (1991), ‘Path Dependent Options: The Case of Lookback Options’
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), ‘Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns’
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. Jeremy Stein (1989), ‘Overreactions in the Options Market’
Name Index

Volume III:
Acknowledgements
An introduction by the editors to all three volumes appears in volume I
PART I PRICING AMERICAN OPTIONS
1. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’
2. Robert Geske and H.E. Johnson (1984), ‘The American Put Option Valued Analytically’
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. Michael J. Brennan and Eduardo S. Schwartz (1978), ‘Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis’
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 and David Emanuel (1980), ‘Discretely Adjusted Option Hedges’
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, Henri Pagès and José Scheinkman (1992), ‘Derivative Asset Pricing with Transaction Costs’
15. Mark H.A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou (1993), ‘European Option Pricing with Transaction Costs’
16. George M. Constantinides and Thaleia Zariphopoulou (1999), ‘Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences’
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. Robert A. Jarrow and Stuart M. Turnbull (1995), ‘Pricing Derivatives on Financial Securities Subject to Credit Risk’
20. Darrell Duffie and Kenneth J. Singleton (1997), ‘An Econometric Model of the Term Structure of Interest-Rate Swap Yields’
PART V VALUE AT RISK
21. Darrell Duffie and Jun Pan (1997), ‘An Overview of Value at Risk’
22. Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath (1999), ‘Coherent Measures of Risk’
Name Index

Editorial Reviews

Editors Constantinides (U. of Chicago) and Mailliaris (Loyola University) supply an introductory chapter reviewing the 71 papers selected for reprinting in this three-volume reference for financial economists. The first volume (subtitled ) contains seminal papers and pedagogical reviews, the oldest of which was published 100 years ago (there is a gap, then, of 65 years before the first paper of the modern era). It also contains seminal and later papers on two methods which are now standard: risk-neutral valuation and binomial valuation. The second volume (subtitled ) comprises papers about specific types of options, including futures, currencies, fixed-income securities, and real assets. It also has a section on "exotics" (the editors' term), which includes options on other options, options to exchange options, and options with special payoff features. Finally, the third volume () contains papers on credit risk and on value at risk. Papers are reprinted in reasonably legible facsimile, from such publications as the and Indexing in each volume is by name only (not subject). Annotation c. Book News, Inc., Portland, OR (booknews.com)

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