Valuing S&P 500 bear market warrants with a periodic reset

Journal of Derivatives

Volumn 5, Issue 1, 1997, Pages 99-106

  Gray, Stephen F ^a,b   Whaley, Robert E ^a  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001987044     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1997.407987     Document Type: Article

References (4)

1. Black, Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), pp. 637-659.
2. Cox, John C, Stephen Ross, and Mark Rubinstein. "Option Pricing: A Simplified Approach." Journal of Financial Economics. 7 (1979), pp. 229-263.
3. Hull, John C. Options, Futures, and Other Derivative Securities, 3rd ed. Englewood Cliffs, NJ: Prentice-Hall, 1996.
4. Stoll, Hans R., and Robert E. Whaley. Futures and Options: Theory and Applications. Cincinnati: Southwestern Publishing, 1993.