PRICING OF OPTIONS AND CORPORATE LIABILITIES
PRICING OF OPTIONS AND CORPORATE LIABILITIES
复制标题
DOI：
10.1086/260062
复制
发表时间：
1973-01-01
影响因子：
8.2
通讯作者：
SCHOLES, M
中科院分区：
文献类型：
--
作者：
BLACK, F;SCHOLES, M
如果期权在市场上定价正确，那么就不可能通过创建期权及其标的股票的多头和空头头寸的投资组合来确保利润。利用这一原理，推导出了期权定价的理论公式。由于几乎所有的公司负债都可以被看作是期权的组合，因此得出这一结论的公式和分析也适用于普通股、公司债券和认股权证等公司负债。特别是，该公式可以用来推导出由于违约的可能性而应该应用于公司债券的折扣。
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.