The Pricing of Options and Corporate Liabilities
2019; Linguagem: Inglês
10.1142/9789814759588_0001
AutoresFischer Black, Myron S. Scholes,
Tópico(s)Economic theories and models
ResumoWorld Scientific Reference on Contingent Claims Analysis in Corporate Finance, pp. 3-21 (2019) Free AccessThe Pricing of Options and Corporate LiabilitiesFischer Black and Myron ScholesFischer BlackUniversity of Chicago, United States and Myron ScholesMassachusetts Institute of Technology, USAhttps://doi.org/10.1142/9789814759588_0001Cited by:40 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: 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. This article originally appeared in The Journal of Political Economy (1973), 81(3), 637–654. 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