Advertisement

Rational Theory of Warrant Pricing

Chapter
Part of the Contemporary Mathematicians book series (CM)

Abstract

This is a compact report on desultory researches stretching over more than a decade.

Keywords

Warrant Pricing Compact Report Perpetual Warrant Exercise Price Partial Difference Equations 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. [1]
    S. S. Alexander. Rice movements in speculative markets: Trends or random walks. Industrial Management Review, 2:7–26, 1961.Google Scholar
  2. [2]
    S. S. Alexander. Some movements in speculative markets: trends or random walks. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 338–375. MIT Press, Cambridge, 1964.Google Scholar
  3. [3]
    L. Bachelier. Theory of speculation. Translation of the 1900 french edition. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 17–78. MIT Press, Cambridge, MA, 1964.Google Scholar
  4. [4]
    A. J. Boness. Some evidence on the profitability of trading in put and call options. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 475–496. MIT Press, Cambridge, 1964.Google Scholar
  5. [5]
    P. H. Cootner. Rejoinder. J. Political Econ., 68:415–418, 1960.CrossRefGoogle Scholar
  6. [6]
    P. H. Cootner. Returns to speculators: Telser versus Keynes. J. Political Econ., 68:396–404, 1960.CrossRefGoogle Scholar
  7. [7]
    E. B. Dynkin. Infinitesimal operators of Markov processes (Russian). Teor. Veroyatnost. i Primenen, 1:38–60, 1956.MathSciNetzbMATHGoogle Scholar
  8. [8]
    E. B. Dynkin. The natural topology and excessive functions connected with a Markov process. Dokl. Akad. Nauk SSSR, 127:17–19, 1959.MathSciNetzbMATHGoogle Scholar
  9. [9]
    E. F. Fama. Mandelbrot and the stable Paretian hypothesis. Journal of Business, 36:420–429, 1963.CrossRefGoogle Scholar
  10. [10]
    E. F. Fama. Mandelbrot and the stable Paretian hypothesis. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 297–306. MIT Press, Cambridge, 1964.Google Scholar
  11. [11]
    G. Giguère. Warrants: a mathematical method of evaluation. Analysts Journal, 14:17–25, 1958.CrossRefGoogle Scholar
  12. [12]
    B. V. Gnedenko and A. N. Kolmogorov. Limit Distributions for Sums of Independent Random Variables. Addison-Wesley Publishing Company, Inc., Cambridge, 1954.zbMATHGoogle Scholar
  13. [13]
    H. Houthakker. The scope and limits of future trading. In M. Abramowitz, editor, Allocation of Economic Resources, pages 134–159, 1959.Google Scholar
  14. [14]
    H. Houthakker. Systematic and random elements in short-term price movements. American Economic Review, 51:164–172, 1961.Google Scholar
  15. [15]
    G. Hunt. Some theorems concerning Brownian motion. Trans. AMS, 81:294–319, 1956.CrossRefzbMATHGoogle Scholar
  16. [16]
    M. G. Kendall. The analysis of economic time series—Part I: prices. Journal of the Royal Statistical Society, 96:11–25, 1963.Google Scholar
  17. [17]
    M. G. Kendall. The analysis of economic time series—Part I: prices. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 85–99. MIT Press, Cambridge, 1964.Google Scholar
  18. [18]
    J. M. Keynes. A treatise on money–II: The Applied Theory of Money. MacMillan and Company, London, 1930.Google Scholar
  19. [19]
    I. I. Kolodner. Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution. Comm. Pure Appl. Math., 9:1–31, 1956.Google Scholar
  20. [20]
    R. J. Kruizenga. Introduction to the option contract. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 277–391. MIT Press, Cambridge, 1964.Google Scholar
  21. [21]
    R. J. Kruizenga. Profit returns from purchasing puts and calls. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 392–411. MIT Press, Cambridge, 1964.Google Scholar
  22. [22]
    P. Lévy. Calcul des probabilitès. Librarie du Bureau des Longitudes de l’Ecole Polytechnique, Paris, 1925.zbMATHGoogle Scholar
  23. [23]
    B. Mandelbrot. The variation of certain speculative prices. Journal of Business, 36:394–419, 1963.CrossRefGoogle Scholar
  24. [24]
    B. Mandelbrot. The variation of certain speculative prices. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 307–332. MIT Press, Cambridge, 1964.Google Scholar
  25. [25]
    M. F. M. Osborne. Brownian motion in the stock market. Operations Res., 7:145–173, 1959.MathSciNetCrossRefGoogle Scholar
  26. [26]
    M. F. M. Osborne. Brownian motion in the stock market. In P. Cootner, editor, The Random Character of Stock Market Prices, pages 100–128. MIT Press, Cambridge, 1964.Google Scholar
  27. [27]
    C. M. Sprenkle. Warrant prices as indicators of expectations and preferences. Yale Economic Essays, 1:178–231, 1961.Google Scholar

Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Massachusetts Institute of TechnologyCambridgeUSA

Personalised recommendations